Stochastic Tail Exponent For Asymmetric Power Laws
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- Pasquale Cirillo & Nassim Nicholas Taleb, 2016. "Expected shortfall estimation for apparently infinite-mean models of operational risk," Quantitative Finance, Taylor & Francis Journals, vol. 16(10), pages 1485-1494, October.
- Cirillo, Pasquale & Taleb, Nassim Nicholas, 2016. "On the statistical properties and tail risk of violent conflicts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 452(C), pages 29-45.
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This paper has been announced in the following NEP Reports:- NEP-ECM-2016-09-11 (Econometrics)
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