An application of extreme value theory for measuring financial risk (Q853582)
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scientific article; zbMATH DE number 5073614
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An application of extreme value theory for measuring financial risk |
scientific article; zbMATH DE number 5073614 |
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An application of extreme value theory for measuring financial risk (English)
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17 November 2006
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extreme value theory
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generalized pareto distribution
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generalized extreme value distribution
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quantile estimation
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risk measures
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maximum likelihood estimation
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profile likelihood confidence intervals
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