Barunik, Jozef; Vacha, Lukas - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 21, pp. 4863-4874
In this paper we propose a new approach to estimation of the tail exponent in financial stock markets. We begin the study with the finite sample behavior of the Hill estimator under α-stable distributions. Using large Monte Carlo simulations, we show that the Hill estimator overestimates the...