Flexible multivariate Hill estimators
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DOI: 10.1016/j.jeconom.2019.12.010
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References listed on IDEAS
- Yves Dominicy & Pauliina Ilmonen & David Veredas, 2017. "Multivariate Hill Estimators," International Statistical Review, International Statistical Institute, vol. 85(1), pages 108-142, April.
- Qing Liu & Tiantian Mao & Taizhong Hu, 2017. "Closure properties of the second-order regular variation under convolutions," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 46(1), pages 104-119, January.
- Robert Serfling, 2010. "Equivariance and invariance properties of multivariate quantile and related functions, and the role of standardisation," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 22(7), pages 915-936.
- Byczkowski, T. & Nolan, J. P. & Rajput, B., 1993. "Approximation of Multidimensional Stable Densities," Journal of Multivariate Analysis, Elsevier, vol. 46(1), pages 13-31, July.
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Cited by:
- Richard S. J. Tol, 2024.
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- Richard S. J. Tol, 2023. "The climate niche of Homo Sapiens," Papers 2306.00002, arXiv.org.
- Richard S. J. Tol, 2023. "The climate niche of Homo Sapiens," Working Paper Series 0223, Department of Economics, University of Sussex Business School.
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More about this item
Keywords
Tail index; Hill estimator; Extreme value; Multivariate regular variation; Homogeneous function;All these keywords.
JEL classification:
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C39 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Other
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
Statistics
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