| bibtype |
J -
Journal Article
|
| ARLID |
0346486 |
| utime |
20240103193754.2 |
| mtime |
20100914235959.9 |
| WOS |
000282241600043 |
| DOI |
10.1016/j.physa.2010.06.054 |
| title
(primary) (eng) |
Monte Carlo-based tail exponent estimator |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0257423 |
| ISSN |
0378-4371 |
| title
|
Physica. A : Statistical Mechanics and its Applications |
| volume_id |
389 |
| volume |
21 (2010) |
| page_num |
4863-4874 |
| publisher |
|
|
| keyword |
Hill estimator |
| keyword |
α-stable distributions |
| keyword |
Tail exponent estimation |
| author
(primary) |
| ARLID |
cav_un_auth*0242028 |
| name1 |
Baruník |
| name2 |
Jozef |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0101217 |
| name1 |
Vácha |
| name2 |
Lukáš |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GA402/09/0965 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253176 |
|
| project |
| project_id |
GD402/09/H045 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253998 |
|
| project |
| project_id |
GP402/08/P207 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0241655 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
In this paper we propose a new approach to estimation of the tail exponent in financial stock markets. Our proposed method is not sensitive to the choice of tail size and works well also on small data samples. The new estimator also gives unbiased results with symmetrical confidence intervals. |
| reportyear |
2011 |
| RIV |
AH |
| permalink |
http://hdl.handle.net/11104/0187507 |
| mrcbT16-e |
PHYSICSMULTIDISCIPLINARY |
| mrcbT16-f |
1.467 |
| mrcbT16-g |
0.382 |
| mrcbT16-h |
6.7 |
| mrcbT16-i |
0.0383 |
| mrcbT16-j |
0.52 |
| mrcbT16-k |
13244 |
| mrcbT16-l |
617 |
| mrcbT16-q |
87 |
| mrcbT16-s |
0.881 |
| mrcbT16-y |
31.56 |
| mrcbT16-x |
1.74 |
| mrcbT16-4 |
Q2 |
| mrcbT16-B |
45.662 |
| mrcbT16-C |
66.875 |
| mrcbT16-D |
Q3 |
| mrcbT16-E |
Q2 |
| arlyear |
2010 |
| mrcbU34 |
000282241600043 WOS |
| mrcbU63 |
cav_un_epca*0257423 Physica. A : Statistical Mechanics and its Applications 0378-4371 1873-2119 Roč. 389 č. 21 2010 4863 4874 Elsevier |
|