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

Danielsson, Jon and de Haan, L. and 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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Identification Number: 10.1006/jmva.2000.1903
Item Type: Article
Official URL: http://www.elsevier.com/wps/find/journaldescriptio...
Additional Information: © 2001 Academic Press
Subjects: Q Science > QA Mathematics
Sets: Departments > Finance
Date Deposited: 05 Nov 2008 10:07
Last Modified: 01 Oct 2010 08:59
URI: http://eprints.lse.ac.uk/id/eprint/7329

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