About: Monte Carlo-based tail exponent estimator

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	In this paper we propose a new approach to estimation of the tail exponent in financial stock markets. Our proposed method is not sensitive to the choice of tail size and works well also on small data samples. The new estimator also gives unbiased results with symmetrical confidence intervals. In this paper we propose a new approach to estimation of the tail exponent in financial stock markets. Our proposed method is not sensitive to the choice of tail size and works well also on small data samples. The new estimator also gives unbiased results with symmetrical confidence intervals. (en)
Title	Monte Carlo-based tail exponent estimator Monte Carlo-based tail exponent estimator (en)
skos:prefLabel	Monte Carlo-based tail exponent estimator Monte Carlo-based tail exponent estimator (en)
skos:notation	RIV/67985556:_____/10:00346486!RIV11-GA0-67985556
http://linked.open...avai/riv/aktivita	P S Z
http://linked.open...avai/riv/aktivity	P(GA402/09/0965), P(GD402/09/H045), P(GP402/08/P207), S, Z(AV0Z10750506), Z(MSM0021620841)
http://linked.open...iv/cisloPeriodika	21
http://linked.open...vai/riv/dodaniDat	2011
http://linked.open...aciTvurceVysledku	Baruník, Jozef Vácha, Lukáš
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Ústav teorie informace a automatizace AV ČR, v. v. i.
http://linked.open...dnocenehoVysledku	272581
http://linked.open...ai/riv/idVysledku	RIV/67985556:_____/10:00346486
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Hill estimator; α-stable distributions; Tail exponent estimation (en)
http://linked.open.../riv/klicoveSlovo	α-stable distributions Tail exponent estimation Hill estimator
http://linked.open...odStatuVydavatele	NL - Nizozemsko
http://linked.open...ontrolniKodProRIV	[231859D82FAC]
http://linked.open...i/riv/nazevZdroje	Physica. A : Statistical Mechanics and its Applications
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...vavai/riv/projekt	Nonlinear Dynamics in Monetary and Financial Economics. Theory and Empirical Models. Analysis of the Heterogeneous Agents Models in Finance New Approaches to Monitoring and Forecasting Financial Markets
http://linked.open...UplatneniVysledku	2010
http://linked.open...v/svazekPeriodika	389
http://linked.open...iv/tvurceVysledku	Baruník, Jozef Vácha, Lukáš
http://linked.open...ain/vavai/riv/wos	000282241600043
http://linked.open...n/vavai/riv/zamer	Pokročilé matematické metody získávání, zpracování a využití informací a znalostí ve složitých a nedeterministických systémech Development of the Czech Society in the EU: challenges and risks
issn	0378-4371
number of pages	12 (xsd:int)

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