Confidence intervals for a tail index estimator

  • Sergei Y. Novak
Part of the Lecture Notes in Statistics book series (LNS, volume 147)


Financial data (log-returns of exchange rates, stock indices, share prices) are often modeled by heavy-tailed distributions, i.e., distributions which admit the representation
$$P(X > x) = L(x){x^{ - 1/a}}(a > 0)$$
where the function L slowly varies: \(\mathop {\lim }\limits_{x \to \infty } L(xt)/L(x) = 1(\forall t > 0)\).


Asymptotic Normality Share Price Stock Index Ratio Estimator Tail Index 
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© Springer Science+Business Media New York 2000

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  • Sergei Y. Novak

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