Chapter 9. Extreme Value Theory (in MATLAB/Python)
Copyright 2011 - 2020 Jon Danielsson.
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Listing 9.1/9.2: Hill estimator in MATLAB
Last updated 2011
ysort = sort(y); % sort the returns
CT = 100; % set the threshold
iota = 1/mean(log(ysort(1:CT)/ysort(CT+1))) % get the tail index
Listing 9.1/9.2: Hill estimator in Python
Last updated June 2018
ysort = np.sort(y) # sort the returns
CT = 100 # set the threshold
iota = 1/(np.mean(np.log(ysort[0:CT]/ysort[CT]))) # get the tail index