Chapter 9. Extreme Value Theory (in MATLAB/Julia)

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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 Julia
Last updated June 2018

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