Quantile estimation for the generalized pareto distribution with application to finance
نویسندگان
چکیده
منابع مشابه
Quantile Estimation for the Generalized Pareto Distribution with Application to Finance
Generalized Pareto distributions (GPD) are widely used for modeling excesses over high thresholds (within the framework of the POT-approach to modeling extremes). The aim of the paper is to give the review of the classical techniques for estimating GPD quantiles, and to apply these methods in finance to estimate the Valueat-Risk (VaR) parameter, and discuss certain difficulties related to this ...
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ژورنال
عنوان ژورنال: YUJOR
سال: 2012
ISSN: 0354-0243,1820-743X
DOI: 10.2298/yjor110308013j