Proceedings Article10.1142/9781848160156_0009
Second order tail effects
Casper G. de Vries
- 01 Apr 2000
pp 153-165
3
Abstract: • A submitted manuscript is the author's version of the article upon submission and before peer-review. There can be important differences between the submitted version and the official published version of record. People interested in the research are advised to contact the author for the final version of the publication, or visit the DOI to the publisher's website. • The final author version and the galley proof are versions of the publication after peer review. • The final published version features the final layout of the paper including the volume, issue and page numbers.
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References
A Simple General Approach to Inference About the Tail of a Distribution
TL;DR: In this paper, a simple general approach to inference about the tail behavior of a distribution is proposed, which is not required to assume any global form for the distribution function, but merely the form of behavior in the tail where it is desired to draw inference.
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Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation
TL;DR: In this article, a two-step subsample bootstrap method is used to adaptively select the sample fraction that minimizes the asymptotic mean-squared error.
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From value at risk to stress testing: The extreme value approach
TL;DR: In this paper, an approach based on extreme values to compute the value at risk of a market position is presented, which covers market conditions ranging from the usual environment considered by the existing VaR methods to the financial crises which are the focus of stress testing.
Tail index and quantile estimation with very high frequency data
TL;DR: In this article, a moment estimator for the second term of the tail shape of forex returns is proposed, based on Monte Carlo simulations and high frequency foreign exchange recordings collected by the Olsen corporation.
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