Fitting a Pareto-Normal-Pareto distribution to the residuals of financial data

DOI10.1007/BF03354611zbMath1037.62108MaRDI QIDQ1424662

Faans Steyn, Suria Ellis, Hennie Venter

Publication date: 16 March 2004

Published in: Computational Statistics (Search for Journal in Brave)

zbMATH Keywords

maximum likelihood estimationheavy tailsvalue at riskAR-GARCH process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32)

Related Items (1)

Weighted empirical likelihood estimates and their robustness properties

Uses Software

• SAS
• bootstrap
• SAS/ETS

Cites Work

• ARCH models and financial applications
• Generalized autoregressive conditional heteroscedasticity
• Coherent Measures of Risk
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