Estimating generalized state density of near-extreme events and its applications in analyzing stock data

DOI10.1016/j.insmatheco.2010.03.004zbMath1231.91208OpenAlexW1994158652MaRDI QIDQ661204

Chao Huang, Qing-Yun Zhuang, Jin-Guan Lin, Li-ping Zhu

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.03.004

zbMATH Keywords

density of statesextreme value statisticskernel density estimatedomains of attractiongeneralized density of near-extreme events

Mathematics Subject Classification ID

Reliability and life testing (62N05)

Related Items (2)

Testing for the shape parameter of generalized extreme value distribution based on the \(L_q\)-likelihood ratio statistic ⋮ Modified maximum spacings method for generalized extreme value distribution and applications in real data analysis

Uses Software

• ismev
• bootstrap

Cites Work

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• Statistical inference using extreme order statistics
• A note on the number of records near the maximum
• On the number of maxima in a discrete sample
• High volatility, thick tails and extreme value theory in value-at-risk estimation.
• Asymptotic Statistics
• ON THE NUMBER OF RECORDS NEAR THE MAXIMUM
• The Relationship between Variable Selection and Data Agumentation and a Method for Prediction
• Generalized extreme value statistics and sum of correlated variables
• An introduction to statistical modeling of extreme values

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