Browsing Discussion papers of interdisciplinary research project 373 / Sonderforschungsbereich 373 by Subject "tail analysis"
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1998-03-11BuchTruncated Maximum Likelihood, Goodness of Fit Tests and Tail Analysis We propose a new method of tail analysis for data featuring a high degree of leptokurtosis. Heavy tails can typically be found in financial series, like for example, the stock returns or durations between arrivals of trades. ...