Using a bootstrap method to choose the sample fraction in tail index estimation

Danielsson, JonORCID logo; de Haan, L.; Peng, L.; and de Vries, C. G. (2001) Using a bootstrap method to choose the sample fraction in tail index estimation. Journal of Multivariate Analysis, 76 (2). pp. 226-248. ISSN 0047-259X
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Item Type Article
Departments Finance
DOI 10.1006/jmva.2000.1903
Date Deposited 05 Nov 2008 10:07
URI https://researchonline.lse.ac.uk/id/eprint/7329

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