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Monte Carlo-Based Tail Exponent Estimator
- 1.0342493 - ÚTIA 2011 CZ eng J - Journal Article
Baruník, Jozef - Vácha, Lukáš
Monte Carlo-Based Tail Exponent Estimator.
IES Working Paper. Roč. 2010, č. 6 (2010), s. 1-26
R&D Projects: GA ČR GA402/09/0965; GA ČR GD402/09/H045; GA ČR GP402/08/P207
Institutional research plan: CEZ:AV0Z10750506
Keywords : Hill estimator * α-stable distributions * tail exponent estimation
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2010/E/barunik-0342493.pdf
Permanent Link: http://hdl.handle.net/11104/0185214
Number of the records: 1