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1
Using a
bootstrap
method to choose the sample fraction in tail index estimation
Danielsson, J.
;
de Haan, de Haan, L.F.M.
;
Peng, Peng, L.
; …
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2000
a two step subsample
bootstrap
method. This method adaptively determines the sample fraction that minimizes the …
Persistent link: https://www.econbiz.de/10010837770
Saved in:
2
Using a
bootstrap
method to choose the sample fraction in tail index estimation
Danielsson, J.
;
Haan, L.F.M. de
;
Peng, L.
;
Vries, C.G. de
-
Erasmus University Rotterdam, Econometric Institute
-
2000
a two step subsample
bootstrap
method. This method adaptively determines the sample fraction that minimizes the …
Persistent link: https://www.econbiz.de/10008484074
Saved in:
3
Using a
Bootstrap
Method to choose the Sample Fraction in Tail Index Estimation
Danielsson, J.
;
Haan, L. de
;
Peng, L.
;
Vries, C.G. de
-
Tinbergen Instituut
-
1997
We use a subsample
bootstrap
method to get a consistent estimate of the asymptotically optimal choice of the …
Persistent link: https://www.econbiz.de/10011257229
Saved in:
4
Using a
Bootstrap
Method to choose the Sample Fraction in Tail Index Estimation
Danielsson, J.
;
de Haan, L.
;
Peng, L.
;
de Vries, C.G.
-
1997
We use a subsample
bootstrap
method to get a consistent estimate of the asymptotically optimal choice of the …
Persistent link: https://www.econbiz.de/10010324719
Saved in:
5
Using a
Bootstrap
Method to choose the Sample Fraction in Tail Index Estimation
Danielsson, J.
;
Haan, L. de
;
Peng, L.
;
Vries, C.G. de
-
Tinbergen Institute
-
1997
We use a subsample
bootstrap
method to get a consistent estimate of the asymptotically optimal choice of the sample …
Persistent link: https://www.econbiz.de/10005504945
Saved in:
6
Using a
bootstrap
method to choose the sample fraction in tail index estimation
Daníelsson, Jón
;
Haan, Laurens de
;
Peng, L.
;
Vries, …
-
1997
We use a subsample
bootstrap
method to get a consistent estimate of the asymptotically optimal choice of the …
Persistent link: https://www.econbiz.de/10010232860
Saved in:
7
Long-term asset tail risks in developed and emerging markets
Straetmans, Stefan
;
Candelon, Bertrand
- In:
Journal of Banking & Finance
37
(
2013
)
6
,
pp. 1832-1844
tail parameters of the return distribution we propose a
bootstrap
-based version of the structural change test. Our …
Persistent link: https://www.econbiz.de/10010662612
Saved in:
8
Which Extreme Values are Really Extremes?
Olmo, Jose
;
Gonzalo, Jesus
-
Econometric Society
-
2004
(derived from our threshold estimator) we overcome the
bias
problems of the usual tail index estimators (Hill or Pickands). The …
Persistent link: https://www.econbiz.de/10005699657
Saved in:
9
Extreme observations in developed and emerging equity markets
Grau-Carles, Pilar
-
Society for Computational Economics - SCE
-
2006
shape estimates are inefficient unless the threshold is accurately determined. We will apply
bootstrap
methodology to select …
Persistent link: https://www.econbiz.de/10005706221
Saved in:
10
Long-term asset tail risks in developed and emerging markets
Straetmans, Stefan
;
Candelon, Bertrand
- In:
Journal of banking & finance
37
(
2013
)
6
,
pp. 1832-1844
Persistent link: https://www.econbiz.de/10009741911
Saved in:
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