Number of the records: 1

Monte Carlo-based tail exponent estimator

SYSNO ASEP	0346486
Document Type	J - Journal Article
R&D Document Type	Journal Article
Subsidiary J	Článek ve WOS
Title	Monte Carlo-based tail exponent estimator
Author(s)	Baruník, Jozef (UTIA-B)_{RID, ORCID} Vácha, Lukáš (UTIA-B)_RID
Source Title	Physica. A : Statistical Mechanics and its Applications. - : Elsevier - ISSN 0378-4371 Roč. 389, č. 21 (2010), s. 4863-4874
Number of pages	12 s.
Language	eng - English
Country	NL - Netherlands
Keywords	Hill estimator ; α-stable distributions ; Tail exponent estimation
Subject RIV	AH - Economics
R&D Projects	GA402/09/0965 GA ČR - Czech Science Foundation (CSF)
	GD402/09/H045 GA ČR - Czech Science Foundation (CSF)
	GP402/08/P207 GA ČR - Czech Science Foundation (CSF)
CEZ	AV0Z10750506 - UTIA-B (2005-2011)
UT WOS	000282241600043
DOI	10.1016/j.physa.2010.06.054
Annotation	In this paper we propose a new approach to estimation of the tail exponent in financial stock markets. Our proposed method is not sensitive to the choice of tail size and works well also on small data samples. The new estimator also gives unbiased results with symmetrical confidence intervals.
Workplace	Institute of Information Theory and Automation
Contact	Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
Year of Publishing	2011

Number of the records: 1