@article {1162.62357,
	title = {Reduced-bias tail index estimators under a third-order framework.},
	journal = {Commun. Stat., Theory Methods},
	volume = {38},
	number = {7},
	year = {2009},
	note = {<p>n/a</p>
},
	pages = {1019-1040},
	abstract = {<p>{Summary: We are interested in the comparison, under a third-order framework, of classes of second-order, reduced-bias tail index estimators, giving particular emphasis to minimum-variance reduced-bias estimators of the tail index $\gamma$. The full asymptotic distributional properties of the proposed classes are derived under a third-order framework and the estimators are compared with other alternatives, not only asymptotically, but also for finite samples through Monte Carlo techniques. An application to the log-exchange rates of the Euro against the USA Dollar is also provided.}</p>
},
	keywords = {heavy tails, semi-parametric estimation, statistics of extremes}, {bias estimation},
	doi = {10.1080/03610920802361415},
	author = {Caeiro, Frederico and Gomes, M.Ivette and Rodrigues, L{\'\i}gia Henriques}
}
