[HTML][HTML] Tail index estimation in the presence of covariates: Stock returns' tail risk dynamics
J Nicolau, PMM Rodrigues, MZ Stoykov - Journal of Econometrics, 2023 - Elsevier
This paper provides novel theoretical results for the estimation of the conditional tail index of
Pareto and Pareto-type distributions in a time series context. We show that both the …
Pareto and Pareto-type distributions in a time series context. We show that both the …
Tax progressivity and the Pareto tail of income distributions
CC Yang, X Zhao, S Zhu - Economics Letters, 2023 - Elsevier
In a continuous-time version of the Bewley–Huggett–Aiyagari model, this paper shows
theoretically and numerically that the fatness of the Pareto upper tail of the income …
theoretically and numerically that the fatness of the Pareto upper tail of the income …
An Application of the Dagum Type III Model to Measure Household Net Wealth Inequality in Indonesia
This paper applies the Dagum Type III model to measure household net wealth inequality in
Indonesia utilising data from the Indonesian Family Life Survey (IFLS) 1993–2014. The …
Indonesia utilising data from the Indonesian Family Life Survey (IFLS) 1993–2014. The …