Quantile estimation for the generalized Pareto distribution with application to finance (Q5259333)
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scientific article; zbMATH DE number 6451312
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| English | Quantile estimation for the generalized Pareto distribution with application to finance |
scientific article; zbMATH DE number 6451312 |
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Quantile estimation for the generalized pareto distribution with application to finance (English)
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26 June 2015
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excesses over high thresholds
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quantiles of the distribution
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value at risk
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0.849690854549408
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0.849690854549408
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0.8468868732452393
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0.8468868732452393
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0.8213544487953186
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