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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

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Publication:5259333

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DOI10.2298/YJOR110308013JzbMath1349.62528MaRDI QIDQ5259333

Jelena Jocković

Publication date: 26 June 2015

Published in: Yugoslav Journal of Operations Research (Search for Journal in Brave)

zbMATH Keywords

value at risk excesses over high thresholds quantiles of the distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (1)

A multiobjective optimization approach for threshold determination in extreme value analysis for financial time series

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