scientific article; zbMATH DE number 1979767

MaRDI QIDQ4428150zbMATH OpenFDO

Authors Jiazhu Pan, Meichun Ding

Publication date 14 September 2003

zbMATH Keywords

capital-loss coefficientreturnstail indexvalue at risk

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29)

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• Statistical inferences for generalized Pareto distribution based on interior penalty function algorithm and bootstrap methods and applications in analyzing stock data
• Estimating generalized state density of near-extreme events and its applications in analyzing stock data

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