Quantile estimation for the generalized Pareto distribution with application to finance

DOI10.2298/YJOR110308013JzbMATH Open1349.62528MaRDI QIDQ5259333FDOQ5259333

Jelena Jocković

Publication date: 26 June 2015

Published in: Yugoslav Journal of Operations Research (Search for Journal in Brave)

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zbMATH Keywords

value at riskexcesses over high thresholdsquantiles of the distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cited In (7)

• Estimation of value at risk by extreme value methods
• A multiobjective optimization approach for threshold determination in extreme value analysis for financial time series
• Title not available (Why is that?)
• Generalized Pareto approximation for a distribution in the Fréchet or Gumbel domain of attraction: Relative approximation error of a high quantile
• Fitting a Pareto-Normal-Pareto distribution to the residuals of financial data
• Linear combinations of order statistics to estimate the quantiles of generalized Pareto and extreme values distributions
• Shrinkage methods for estimating the shape parameter of the generalized Pareto distribution

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