A New Regression-Based Tail Index Estimator: An Application to Exchange Rates
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- João Nicolau & Paulo M. M. Rodrigues, 2019. "A New Regression-Based Tail Index Estimator," The Review of Economics and Statistics, MIT Press, vol. 101(4), pages 667-680, October.
- Ankudinov, Andrei & Ibragimov, Rustam & Lebedev, Oleg, 2017. "Heavy tails and asymmetry of returns in the Russian stock market," Emerging Markets Review, Elsevier, vol. 32(C), pages 200-219.
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This paper has been announced in the following NEP Reports:- NEP-ECM-2015-12-08 (Econometrics)
- NEP-ORE-2015-12-08 (Operations Research)
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