Statistical inferences for generalized Pareto distribution based on interior penalty function algorithm and bootstrap methods and applications in analyzing stock data

DOI10.1007/S10614-011-9256-0MaRDI QIDQ431908zbMATH OpenOpenAlexFDO

Authors Jinguan Lin, Yan-Yan Ren, Chao Huang

Publication date 3 July 2012

Published in Computational Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10614-011-9256-0

zbMATH Keywords

thresholdgeneralized Pareto distributionvalue at riskbootstrap methoddaily closing priceinterior penalty function algorithm

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Statistical methods; economic indices and measures (91B82) Statistical methods; risk measures (91G70)

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Cited in

(5)

• scientific article; zbMATH DE number 1979767 (Why is no real title available?)
• Modified maximum spacings method for generalized extreme value distribution and applications in real data analysis
• Estimating generalized state density of near-extreme events and its applications in analyzing stock data
• Testing for the shape parameter of generalized extreme value distribution based on the \(L_q\)-likelihood ratio statistic
• A new class of copulas involved geometric distribution: estimation and applications

Describes a project that uses

Uses Software

• plfit
• bootstrap
• QRM
• ismev

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