Tail Index Estimation in the Presence of Long-Memory Dynamics

Tucker McElroy, Agnieszka Jach

Research output: Contribution to journal › Article › Scientific › peer-review

6 Citations (Scopus)

Original language	English
Peer-reviewed scientific journal	Computational Statistics & Data Analysis
Volume	56
Issue number	2
Pages (from-to)	266-282
Number of pages	17
ISSN	0167-9473
DOIs	https://doi.org/10.1016/j.csda.2011.07.018
Publication status	Published - 2012
MoE publication type	A1 Journal article - refereed

Keywords

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title = "Tail Index Estimation in the Presence of Long-Memory Dynamics",

keywords = "112 Statistics and probability, 512 Business and Management",

author = "Tucker McElroy and Agnieszka Jach",

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language = "English",

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TY - JOUR

T1 - Tail Index Estimation in the Presence of Long-Memory Dynamics

AU - McElroy, Tucker

AU - Jach, Agnieszka

PY - 2012

Y1 - 2012

KW - 112 Statistics and probability

KW - 512 Business and Management

U2 - 10.1016/j.csda.2011.07.018

DO - 10.1016/j.csda.2011.07.018

M3 - Article

VL - 56

SP - 266

EP - 282

JO - Computational Statistics and Data Analysis

JF - Computational Statistics and Data Analysis

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