Journal of Mathematical Finance

Vol.6 No.4(2016), Paper ID 71870, 34 pages

DOI:10.4236/jmf.2016.64046

 

Efficient Estimation of Distributional Tail Shape and the Extremal Index with Applications to Risk Management

 

Travis R. A. Sapp

 

College of Business, Iowa State University, Ames, IA, USA

 

Copyright © 2016 Travis R. A. Sapp et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

 

How to Cite this Article

Sapp, T. (2016) Efficient Estimation of Distributional Tail Shape and the Extremal Index with Applications to Risk Management. Journal of Mathematical Finance, 6, 626-659. doi: 10.4236/jmf.2016.64046.
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