Estimation of the tail index for lattice-valued sequences

By Matsui Muneya   Mikosch Thomas   Tafakori Laleh  

Extremes, Vol. 16, Iss. 4, 2013-12 ,pp. : 429-455

Springer Publishing Company

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MAXIMUM LIKELIHOOD REVISITED UNDER A SEMI-PARAMETRIC CONTEXT - ESTIMATION OF THE TAIL INDEX

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Journal of Statistical Computation and Simulation, Vol. 73, Iss. 4, 2003-01 ,pp. : 285-301

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Nonparametric Tail Copula Estimation: An Application to Stock and Volatility Index Returns

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Communications in Statistics: Simulation and Computation, Vol. 42, Iss. 3, 2013-03 ,pp. : 613-635

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Estimation of the conditional tail index using a smoothed local Hill estimator

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Tail index and second-order parameters' semi-parametric estimation based on the log-excesses

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