Where does the tail begin? : an approach based on scoring rules
Year of publication: |
2020
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Authors: | Hoga, Yannick |
Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 1532-4168, ZDB-ID 2041746-9. - Vol. 39.2020, 6, p. 579-601
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Subject: | Hill estimator | optimal sample fraction | risk management | tail index | value-at-risk | Risikomanagement | Risk management | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Schätztheorie | Estimation theory |
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