{"id":"https://openalex.org/W4403763754","doi":"https://doi.org/10.48550/arxiv.2409.13531","title":"A simple but powerful tail index regression","display_name":"A simple but powerful tail index regression","publication_year":2024,"publication_date":"2024-09-20","ids":{"openalex":"https://openalex.org/W4403763754","doi":"https://doi.org/10.48550/arxiv.2409.13531"},"language":"en","primary_location":{"id":"pmh:oai:RePEc:arx:papers:2409.13531","doi":null,"is_oa":false,"landing_page_url":"http://arxiv.org/pdf/2409.13531","pdf_url":"http://arxiv.org/pdf/2409.13531","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},"volume":null,"type":"preprint","indexed_in":["arxiv","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/2409.13531","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5032980375","display_name":"Jo\ufffd\u00e3o Nicolau","orcid":"https://orcid.org/0000-0001-5401-0309","observed_orcids":["https://orcid.org/0000-0001-5401-0309"]},"institutions":[{"id":"https://openalex.org/I141596103","display_name":"University of Lisbon","ror":"https://ror.org/01c27hj86","country_code":"PT","type":"education","lineage":["https://openalex.org/I141596103"]},{"id":"https://openalex.org/I4403386696","display_name":"ISEG - Instituto Superior de Economia e Gest\u00e3o","ror":"https://ror.org/03k2k6011","country_code":"PT","type":"education","lineage":["https://openalex.org/I141596103","https://openalex.org/I4403386696"]},{"id":"https://openalex.org/I4405254204","display_name":"Centro de Matematica Aplicada \u00e0 Previs\u00e3o e Decis\u00e3o Econ\u00f3mica","ror":"https://ror.org/01hyesf03","country_code":"PT","type":"facility","lineage":["https://openalex.org/I141596103","https://openalex.org/I4405254204"]}],"countries":["PT"],"is_corresponding":false,"raw_author_name":"Nicolau, Jo\u00e3o","raw_affiliation_strings":["ISEG , Universidade de Lisboa and CEMAPRE"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"ISEG , Universidade de Lisboa and CEMAPRE","institution_ids":["https://openalex.org/I141596103","https://openalex.org/I4403386696","https://openalex.org/I4405254204"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5091374307","display_name":"Paulo M.M. Rodrigues","orcid":"https://orcid.org/0000-0002-6469-4959","observed_orcids":["https://orcid.org/0000-0002-6469-4959","https://orcid.org/0000-0003-1285-7493"]},"institutions":[{"id":"https://openalex.org/I4405256010","display_name":"NOVA School of Business and Economics","ror":"https://ror.org/03nr2fs68","country_code":"PT","type":"education","lineage":["https://openalex.org/I4405256010","https://openalex.org/I83558840"]},{"id":"https://openalex.org/I50310733","display_name":"Banco de Portugal","ror":"https://ror.org/05hz4mv11","country_code":"PT","type":"other","lineage":["https://openalex.org/I50310733"]}],"countries":["PT"],"is_corresponding":false,"raw_author_name":"Rodrigues, Paulo M. M.","raw_affiliation_strings":["Banco de Portugal and Nova School of Business and Economics"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Banco de Portugal and Nova School of Business and Economics","institution_ids":["https://openalex.org/I4405256010","https://openalex.org/I50310733"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":5,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11720","display_name":"Probability and Risk Models","score":0.9199000000953674,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11720","display_name":"Probability and Risk Models","score":0.9199000000953674,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.027400000020861626,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10968","display_name":"Statistical Distribution Estimation and Applications","score":0.0066999997943639755,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/heavy-tailed-distributions","display_name":"heavy-tailed distributions","score":0.9559999704360962},{"id":"https://openalex.org/keywords/linear-regression","display_name":"linear regression","score":0.49799999594688416},{"id":"https://openalex.org/keywords/ordinary-least-squares","display_name":"ordinary least squares","score":0.8859999775886536},{"id":"https://openalex.org/keywords/least-absolute-deviation","display_name":"least absolute deviation","score":0.8180000185966492},{"id":"https://openalex.org/keywords/m-estimation","display_name":"M-estimation","score":0.9950000047683716},{"id":"https://openalex.org/keywords/finite-sample-properties","display_name":"finite sample properties","score":0.7250000238418579},{"id":"https://openalex.org/keywords/exponential-regression","display_name":"exponential regression","score":0.6970000267028809},{"id":"https://openalex.org/keywords/commodity-returns","display_name":"commodity returns","score":0.7900000214576721}],"concepts":[{"id":"https://openalex.org/C2780586882","wikidata":"https://www.wikidata.org/wiki/Q7520643","display_name":"Simple (philosophy)","level":2,"score":0.7913155555725098},{"id":"https://openalex.org/C2777382242","wikidata":"https://www.wikidata.org/wiki/Q6017816","display_name":"Index (typography)","level":2,"score":0.6512197256088257},{"id":"https://openalex.org/C83546350","wikidata":"https://www.wikidata.org/wiki/Q1139051","display_name":"Regression","level":2,"score":0.5721055865287781},{"id":"https://openalex.org/C149769383","wikidata":"https://www.wikidata.org/wiki/Q7520804","display_name":"Simple linear regression","level":3,"score":0.5169764757156372},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.4326382279396057},{"id":"https://openalex.org/C152877465","wikidata":"https://www.wikidata.org/wiki/Q208042","display_name":"Regression analysis","level":2,"score":0.4247351586818695},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4180123209953308},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3542395532131195},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3541673421859741},{"id":"https://openalex.org/C138885662","wikidata":"https://www.wikidata.org/wiki/Q5891","display_name":"Philosophy","level":0,"score":0.053851962089538574},{"id":"https://openalex.org/C136764020","wikidata":"https://www.wikidata.org/wiki/Q466","display_name":"World Wide Web","level":1,"score":0.0},{"id":"https://openalex.org/C111472728","wikidata":"https://www.wikidata.org/wiki/Q9471","display_name":"Epistemology","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"pmh:oai:RePEc:arx:papers:2409.13531","doi":null,"is_oa":false,"landing_page_url":"http://arxiv.org/pdf/2409.13531","pdf_url":"http://arxiv.org/pdf/2409.13531","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:arXiv.org:2409.13531","doi":null,"is_oa":true,"landing_page_url":"http://arxiv.org/abs/2409.13531","pdf_url":"https://arxiv.org/pdf/2409.13531","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"doi:10.48550/arxiv.2409.13531","doi":"https://doi.org/10.48550/arxiv.2409.13531","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.2409.13531","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":null,"is_accepted":false,"is_published":null,"raw_source_name":null,"raw_type":"Preprint"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:2409.13531","doi":null,"is_oa":true,"landing_page_url":"http://arxiv.org/abs/2409.13531","pdf_url":"https://arxiv.org/pdf/2409.13531","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[{"id":"https://openalex.org/G1239204688","display_name":"Laborat\u00f3rio de Dados de Ci\u00eancias Sociais","funder_award_id":"PINFRA/22209/2016","funder_id":"https://openalex.org/F4320334779","funder_display_name":"Funda\u00e7\u00e3o para a Ci\u00eancia e a Tecnologia"},{"id":"https://openalex.org/G3821169523","display_name":null,"funder_award_id":"22209","funder_id":"https://openalex.org/F4320334779","funder_display_name":"Funda\u00e7\u00e3o para a Ci\u00eancia e a Tecnologia"},{"id":"https://openalex.org/G5996159373","display_name":null,"funder_award_id":"UIDP/00124/","funder_id":"https://openalex.org/F4320334779","funder_display_name":"Funda\u00e7\u00e3o para a Ci\u00eancia e a Tecnologia"},{"id":"https://openalex.org/G8623804415","display_name":"Nova School of Business and Economics","funder_award_id":"UIDP/00124/2020","funder_id":"https://openalex.org/F4320334779","funder_display_name":"Funda\u00e7\u00e3o para a Ci\u00eancia e a Tecnologia"},{"id":"https://openalex.org/G8764763410","display_name":"Nova School of Business and Economics","funder_award_id":"UIDB/00124/2020","funder_id":"https://openalex.org/F4320334779","funder_display_name":"Funda\u00e7\u00e3o para a Ci\u00eancia e a Tecnologia"}],"funders":[{"id":"https://openalex.org/F4320334779","display_name":"Funda\u00e7\u00e3o para a Ci\u00eancia e a Tecnologia","ror":"https://ror.org/00snfqn58"}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4403763754.pdf","grobid_xml":"https://content.openalex.org/works/W4403763754.grobid-xml"},"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W2503895962","https://openalex.org/W31220157","https://openalex.org/W2312753042","https://openalex.org/W4289356671","https://openalex.org/W4235482609","https://openalex.org/W2389155397","https://openalex.org/W2165884543","https://openalex.org/W3186837933","https://openalex.org/W2368989808","https://openalex.org/W1969346022"],"abstract_inverted_index":{"This":[0],"paper":[1],"introduces":[2],"a":[3,163],"flexible":[4],"framework":[5,85],"for":[6,149],"the":[7,10,21,69,75,82,109,115,121,126,137],"estimation":[8,34,100],"of":[9,14,74,92,101,108,120,123,125,132,140,166],"conditional":[11,127],"tail":[12,22,77,93],"index":[13,23,78,94],"heavy":[15],"tailed":[16],"distributions.":[17],"In":[18],"this":[19],"framework,":[20],"is":[24,106],"computed":[25,80],"from":[26,81],"an":[27],"auxiliary":[28],"linear":[29],"regression":[30,103],"model":[31],"that":[32,59,91],"facilitates":[33],"and":[35,56,86,129,151,158],"inference":[36],"based":[37],"on":[38],"established":[39],"econometric":[40],"methods,":[41],"such":[42],"as":[43],"ordinary":[44],"least":[45,48],"squares":[46],"(OLS),":[47],"absolute":[49],"deviations,":[50],"or":[51],"M-estimation.":[52],"We":[53],"show":[54],"theoretically":[55],"via":[57],"simulations":[58],"OLS":[60,76],"provides":[61],"interesting":[62],"results.":[63],"Our":[64],"Monte":[65],"Carlo":[66],"results":[67],"highlight":[68],"adequate":[70],"finite":[71],"sample":[72],"properties":[73],"estimator":[79],"proposed":[83,142],"new":[84],"contrast":[87],"its":[88],"behavior":[89],"to":[90,160],"estimates":[95],"obtained":[96],"by":[97],"maximum":[98],"likelihood":[99],"exponential":[102],"models,":[104],"which":[105],"one":[107],"approaches":[110],"currently":[111],"in":[112,114,153],"use":[113],"literature.":[116],"An":[117],"empirical":[118,138],"analysis":[119],"impact":[122],"determinants":[124],"left-":[128],"right-tail":[130],"indexes":[131],"commodities'":[133],"return":[134],"distributions":[135],"highlights":[136],"relevance":[139],"our":[141],"approach.":[143],"The":[144],"novel":[145],"framework's":[146],"flexibility":[147],"allows":[148],"extensions":[150],"generalizations":[152],"various":[154],"directions,":[155],"empowering":[156],"researchers":[157],"practitioners":[159],"straightforwardly":[161],"explore":[162],"wide":[164],"range":[165],"research":[167],"questions.":[168]},"counts_by_year":[],"updated_date":"2026-10-08T09:06:37.294493","created_date":"2025-10-10T00:00:00"}
