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• W2898885917 abstract "Abstract A new regression-based approach for the estimation of the tail index of heavy-tailed distributions with several important properties is introduced. First, it provides a bias reduction when compared to available regression-based methods; second, it is resilient to the choice of the tail length used for the estimation of the tail index; third, when the effect of the slowly varying function at infinity of the Pareto distribution vanishes slowly, it continues to perform satisfactorily; and fourth, it performs well under dependence of unknown form. An approach to compute the asymptotic variance under time dependence and conditional heteroskcedasticity is also provided." @default.
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• W2898885917 date "2019-10-01" @default.
• W2898885917 modified "2023-10-01" @default.
• W2898885917 title "A New Regression-Based Tail Index Estimator" @default.
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• W2898885917 doi "https://doi.org/10.1162/rest_a_00768" @default.
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