Danielsson, J.; Haan, L.F.M. de; Peng, L.; Vries, C.G. de - Erasmus University Rotterdam, Econometric Institute - 2000
Tail index estimation depends for its accuracy on a precise choice of the sample fraction, i.e. the number of extreme order statistics on which the estimation is based. A complete solution to the sample fraction selection is given by means of a two step subsample bootstrap method. This method...