... -ple. Other important cross-border linkages exist bet ween the top banks29ECB Working Paper Series No. 527 September 2005 of France, German y and the N etherlands and the top Spanish bank. Moreover, ... implies that the asympto tic varianc e of the Hill estimator1/bη iss2η2,withs some scaling factor. If the scaling factor differs from1 (presence of temporal dependence), the asymptotic critical ... values of the test statistic will depend on the scaling. Qu intos et al. suggest to pre-multiply the test statistic with the inverse of the sc aling factor inorder to let it conver ge to the same...