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Quantile estimation for the generalized pareto distribution with application to finance - MaRDI portal

Quantile estimation for the generalized pareto distribution with application to finance (Q5259333)

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scientific article; zbMATH DE number 6451312
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English
Quantile estimation for the generalized pareto distribution with application to finance
scientific article; zbMATH DE number 6451312

    Statements

    title
    Quantile estimation for the generalized pareto distribution with application to finance (English)
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    publication date
    26 June 2015
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    zbMATH Keywords
    excesses over high thresholds
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    quantiles of the distribution
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    value at risk
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    Identifiers

    zbMATH DE Number
    6451312
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