Estimation of the conditional tail index using a smoothed local Hill estimator
By Laurent Gardes, Gilles Stupfler. 2014
51 citations recorded by the source corpus.
Subfields: Finance, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/d59c6a3c69620bb5be6fa6cc380796e3069186e4
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In Finance
- Laurent Gardes
- Stéphane Girard
- J. E. Methni
- Gilles Stupfler
- Armelle Guillou
- Antoine Schorgen
- Yuri Goegebeur
- Abdelaati Daouia
In Statistics and Probability
- Laurent Gardes
- Stéphane Girard
- J. E. Methni
- Gilles Stupfler
- Armelle Guillou
- Antoine Schorgen
- Yuri Goegebeur
- Abdelaati Daouia
Citations in the corpus
- Non‐parametric Estimation of Extreme Risk Measures from Conditional Heavy‐tailed Distributions (2014, background): “…to the estimation of the RCTM: R̂CTM W a;n.ˇnjx/ D R̂CTMa;n.˛njx/ ˛n ˇn a O n.x/ ; where a is a fixed value, 0 < ˇn < ˛n and O n.x/ is an estimator of the conditional tail index .x/ (Gardes & Girard, 2008; Gardes et al., 2012; Gardes & Stupfler, 2013; Goegebeur & de Wet, 2012; Wang & Tsai, 2009).”