Tail index estimation for heavy‐tailed models: accommodation of bias in weighted log‐excesses

By M. Ivette Gomes, Laurens de Haan, Lígia Henriques Rodrigues. 2007

143 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/0b855e0db146b8da8b71c78606960425d85ba1e3

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Frederico Caeiro
2. M. Nieto
3. Lígia Henriques Rodrigues
4. M. Ivette Gomes
5. Esther Ruiz
6. Jan Beirlant
7. Dinis D. Pestana
8. Laurens de Haan

In Finance

1. Frederico Caeiro
2. Lígia Henriques Rodrigues
3. M. Nieto
4. M. Ivette Gomes
5. Esther Ruiz
6. Dinis D. Pestana
7. Jan Beirlant
8. Stéphane Girard

Citations in the corpus

• Frontiers in VaR forecasting and backtesting (2016, background): “Gomes and Pestana (2007), Gomes et al. (2007), Gomes et al. (2008) and Gomes et al. (2012) propose alternative estimators of ξ with minimum variance and reduced bias.”
• Reduced-Bias Tail Index Estimators Under a Third-Order Framework (2009, background): “( 2007a , 2008 ) consider, in different ways and essentially under the second-order framework in ( 1.”