Reference health
Tail index estimation in small smaples Simulation results for independent and ARCH-type financial return models
22/22 checkable references clean · checked 2026-09-03
Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.
4 without a DOI — not checked. A reference deposited without a DOI is never matched by title or guessed at; it stays outside the checked set, and this line discloses that.
The 22 checked references that resolve
resolves10.1086/295634
A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices
resolves10.1006/jmva.2000.1903
Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation
resolves10.1016/S0927-5398(97)00008-X
Tail index and quantile estimation with very high frequency data
resolves10.1016/S0304-4149(98)00017-9
Selecting the optimal sample fraction in univariate extreme value estimation
resolves10.1017/S0305004100015681
Limiting forms of the frequency distribution of the largest or smallest member of a sample
resolves10.1016/0047-259X(90)90080-2
Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems
resolves10.1214/aos/1176343247
A Simple General Approach to Inference About the Tail of a Distribution
resolves10.1080/096031001300138708
The limiting extremal behaviour of speculative returns: an analysis of intra-daily data from the Frankfurt Stock Exchange
resolves10.1016/S0927-5398(00)00012-8
Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
resolves10.1214/aos/1015957401
Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process
The 4 references without a DOI — listed, not checked
no DOI — not checkedDacorogna, M. M., Müller, U. A., Pictet, O. V., de Vries, C. G. (1995): The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets, O&A Preprint, Zürich
no DOI — not checkedDanielsson, J., de Vries, C. G. (1997b): Beyond the Sample: Extreme Quantile and Probability Estimation, Working Paper, Erasmus University Rotterdam
no DOI — not checkedDewachter, H., Gielens, G. (1994): A Note on the Sum-Stability of Speculative Returns,Economic Notes 23: 116–124.
no DOI — not checkedJanicki, A., Weron, A. (1993): Simulation and Chaotic Behavior of α-Stable Stochastic Processes, Dekker, New York
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