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Using a bootstrap method to choose the sample fraction in tail index estimation

By Jon Danielsson, L. de Haan, L. Peng and C. G. de Vries
Topics: QA Mathematics
Publisher: Academic Press
Year: 2001
DOI identifier: 10.1006/jmva.2000.1903
OAI identifier: oai:eprints.lse.ac.uk:7329
Provided by: LSE Research Online
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