Reduced-Bias Tail Index Estimators Under a Third-Order Framework

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Abstract

In this article, we are interested in the comparison, under a third-order framework, of classes of second-order, reduced-bias tail index estimators, giving particular emphasis to minimum-variance reduced-bias estimators of the tail index . The full asymptotic distributional properties of the proposed classes are derived under a third-order framework and the estimators are compared with other alternatives, not only asymptotically, but also for finite samples through Monte Carlo techniques. An application to the log-exchange rates of the Euro against the USA Dollar is also provided.
Original languageUnknown
Pages (from-to)1019-1040
JournalCommunications In Statistics-Theory And Methods
Volume38
Issue number7
DOIs
Publication statusPublished - 1 Jan 2009

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