Tail Index Estimation: Quantile Driven Threshold Selection (2016)

First Author: Danielsson J

Attributed to: Systemic Risk Centre funded by ESRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.2139/ssrn.2717478

Publication URI: http://dx.doi.org/10.2139/ssrn.2717478

Type: Journal Article/Review

Parent Publication: SSRN Electronic Journal