Tail-Index Estimates in Small Samples
- 1 April 2001
- journal article
- Published by Taylor & Francis in Journal of Business & Economic Statistics
- Vol. 19 (2) , 208-216
- https://doi.org/10.1198/073500101316970421
Abstract
Financial returns are known to be nonnormal and tend to have fat-tailed distributions. This article presents a simple methodology that accurately estimates the degree of tail fatness, characterized...Keywords
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