A parametric alternative to the Hill estimator for heavy-tailed distributions
Year of publication: |
2015
|
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Authors: | Kim, Joseph H. T. ; Kim, Joocheol |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 54.2015, p. 60-71
|
Subject: | Hill estimator | Tail index | Extreme value theory | Generalized Pareto distribution | Scaled Log phase-type distribution | Statistische Verteilung | Statistical distribution | Schätztheorie | Estimation theory | Ausreißer | Outliers |
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