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

Danielsson, Jon, 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
Official URL: http://www.elsevier.com/wps/find/journaldescriptio...
Additional Information: © 2001 Academic Press
Library of Congress subject classification: Q Science > QA Mathematics
Sets: Departments > Finance
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 05 Nov 2008 10:07
URL: http://eprints.lse.ac.uk/7329/

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