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

Danielsson, J.ORCID logo, de Haan, L., Peng, L. & de Vries, C. G. (2001). Using a bootstrap method to choose the sample fraction in tail index estimation. Journal of Multivariate Analysis, 76(2), 226-248. https://doi.org/10.1006/jmva.2000.1903
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Item Type Article
Copyright holders © 2001 Academic Press
Departments LSE > Academic Departments > Finance
DOI 10.1006/jmva.2000.1903
Date Deposited 05 Nov 2008
URI https://researchonline.lse.ac.uk/id/eprint/7329

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