Concepedia

Tail Index Estimation

Tail Index Estimation is a statistical methodology within extreme value theory that quantifies the rate of decay of a distribution's tail by estimating the shape parameter governing the asymptotic behavior of extreme events.

257

Publications

13.4K

Citations

362

Authors

259

Institutions

Publications per year

2017–2026

32

Parents

Publications

257

A Moment Estimator for the Index of an Extreme-Value Distribution

Arnold Dekkers, J.H.J. Einmahl, Laurens de Haan · The Annals of Statistics · 1989 · 699 citations · Full text

, , +11

Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation

Laurens de Haan, Liang Peng, Casper G. de Vries · Journal of Multivariate Analysis · 2001 · 459 citations

, , +15

The stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks

Thomas Lux · Applied Financial Economics · 1996 · 403 citations

, , +14

Estimating the Stable Index $\alpha$ in Order to Measure Tail Thickness: A Critique

William DuMouchel · The Annals of Statistics · 1983 · 355 citations · Full text

, , +14

Tail index and quantile estimation with very high frequency data

Jón Danı́elsson, Casper G. de Vries · Journal of Empirical Finance · 1997 · 315 citations · Full text

, , +17

1–5 of 257

Authors

362

  1. MI
    M. Ivette Gomes

    University of Lisbon, Portugal

    22 publications · 946 citations

    18

    h-index

  2. JB
    Jan Beirlant

    KU Leuven, Belgium

    12 publications · 774 citations

    12

    h-index

  3. LP
    Liang Peng

    Georgia Institute of Technology, United States

    10 publications · 863 citations

    10

    h-index

  4. LD
    Laurens de Haan

    Erasmus University Rotterdam, Netherlands

    7 publications · 1.7K citations

    7

    h-index

  5. FC
    Frederico Caeiro

    Universidade Nova de Lisboa, Portugal

    7 publications · 302 citations

    7

    h-index

1–5 of 362

Institutions

259

  1. University of Lisbon

    Lisbon, Portugal

    18 h-index

    37 publications

    1.9K citations

  2. KU Leuven

    Leuven, Belgium

    15 h-index

    26 publications

    1.9K citations

  3. Erasmus University Rotterdam

    Rotterdam, The Netherlands

    11 h-index

    18 publications

    2.9K citations

  4. Centre National de la Recherche Scientifique

    Paris, France

    9 h-index

    16 publications

    569 citations

  5. Universidade Nova de Lisboa

    Lisbon, Portugal

    7 h-index

    7 publications

    302 citations

  6. Université de Strasbourg

    Strasbourg, France

    7 h-index

    9 publications

    360 citations

  7. Institut de Recherche Mathématique Avancée

    Strasbourg, France

    6 h-index

    7 publications

    231 citations

  8. Tilburg University

    Tilburg, The Netherlands

    6 h-index

    6 publications

    280 citations

1–8 of 259

Venues

  1. Journal of Statistical Planning and Inference

    13 publications · 511 citations

    12

    h-index

  2. Journal of the American Statistical Association

    11 publications · 915 citations

    11

    h-index

  3. Computational Statistics & Data Analysis

    CSDA · 11 publications · 419 citations

    10

    h-index

  4. SSRN Electronic Journal

    Repository · 9 publications · 272 citations

    9

    h-index

  5. 9

    h-index

1–5