Tail index estimation: quantile driven threshold selection

By Jón Dańıelsson, L. Ergun, Laurens de Haan, Casper G. de Vries. 2016

58 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/3fc125949a7e87fb28755de8de6863f3fafa9625