Tail Index Estimation in the Presence of Long-Memory Dynamics

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6 Citeringar (Scopus)

Originalspråk	Engelska
Referentgranskad vetenskaplig tidskrift	Computational Statistics & Data Analysis
Volym	56
Nummer	2
Sidor (från-till)	266-282
Antal sidor	17
ISSN	0167-9473
DOI	https://doi.org/10.1016/j.csda.2011.07.018
Status	Publicerad - 2012
MoE-publikationstyp	A1 Originalartikel i en vetenskaplig tidskrift

Nyckelord

@article{3b391a73aee24982bfbf88f9501404d6,

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",

year = "2012",

doi = "10.1016/j.csda.2011.07.018",

language = "English",

volume = "56",

pages = "266--282",

journal = "Computational Statistics \& Data Analysis",

issn = "0167-9473",

publisher = "Elsevier BV",

number = "2",

}

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

SN - 0167-9473

VL - 56

SP - 266

EP - 282

JO - Computational Statistics & Data Analysis

JF - Computational Statistics & Data Analysis

IS - 2

ER -