OpenAlex | Bias reduction of a tail index estimator through an external estimation of the second-order parameter

Bias reduction of a tail index estimator through an external estimation of the second-order parameter

Work

Year: 2004

Type: article

Source: Statistics

Authors M. Ivette Gomes, Frederico Caeiro, Fernanda Figueiredo

Institutions University of Lisbon, Universidade Nova de Lisboa, Universidade do Porto

Cites: 20

Cited by: 36

Related to: 10

FWCI: 2.74

Citation percentile (by year/subfield): 86.13

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed