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04-090/2 - Optimal Confidence Intervals for the Tail Index and High Quantiles


  • Authors
    Ana Ferreira, ISA, Technical University of Lisbon, Portugal; Casper G. de Vries, Faculty of Economics, Erasmus Universiteit Rotterdam
  • Publication date
    August 23, 2004
  • Keywords
    tail index; bias sign; optimal rate; confidence intervals
  • JEL
    C0