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R. Huisman (Ronald), C.G. Koedijk (Kees), C.J.M. Kool (Clemens) and F. Palm (Franz)

2001-04-01

Tail-index estimates in small samples

Publication

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Journal of Business and Economic Statistics , Volume 19 - Issue 2 p. 208- 216

Additional Metadata
Keywords Exchange rates, Fat tails, Tail-index estimation
Persistent URL dx.doi.org/10.1198/073500101316970421, hdl.handle.net/1765/61928
Journal Journal of Business and Economic Statistics
Organisation Erasmus Research Institute of Management
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Huisman, R, Koedijk, C.G, Kool, C.J.M, & Palm, F. (2001). Tail-index estimates in small samples. Journal of Business and Economic Statistics, 19(2), 208–216. doi:10.1198/073500101316970421
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