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)

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 (4)

• Estimation of value at risk by extreme value methods
• A multiobjective optimization approach for threshold determination in extreme value analysis for financial time series
• Generalized Pareto approximation for a distribution in the Fréchet or Gumbel domain of attraction: Relative approximation error of a high quantile
• Shrinkage methods for estimating the shape parameter of the generalized Pareto distribution

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