Počet záznamů: 1

Monte Carlo-based tail exponent estimator

  1. 1.
    0346486 - UTIA-B 2011 RIV NL eng J - Článek v odborném periodiku
    Baruník, Jozef - Vácha, Lukáš
    Monte Carlo-based tail exponent estimator.
    Physica. A : Statistical Mechanics and its Applications. Roč. 389, č. 21 (2010), s. 4863-4874 ISSN 0378-4371
    Grant CEP: GA ČR GA402/09/0965; GA ČR GD402/09/H045; GA ČR GP402/08/P207
    Výzkumný záměr: CEZ:AV0Z10750506
    Klíčová slova: Hill estimator * α-stable distributions * Tail exponent estimation
    Kód oboru RIV: AH - Ekonomie
    Impakt faktor: 1.521, rok: 2010
    http://library.utia.cas.cz/separaty/2010/E/barunik-0346486.pdf http://library.utia.cas.cz/separaty/2010/E/barunik-0346486.pdf

    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.
    Trvalý link: http://hdl.handle.net/11104/0187507