Quantile estimation for the generalized Pareto distribution with application to finance

DOI10.2298/YJOR110308013JzbMATH Open1349.62528MaRDI QIDQ5259333FDOQ5259333

Authors: 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 (12)

• 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
• Statistical inferences for generalized Pareto distribution based on interior penalty function algorithm and bootstrap methods and applications in analyzing stock data
• Penalized quasi-likelihood estimation of generalized Pareto regression -- consistent identification of risk factors for extreme losses
• Estimating extreme tail risk measures with generalized Pareto distribution
• Cash flow at risk based on bootstrap simulation and generalized Pareto distribution
• 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
• A matching prior for extreme quantile estimation of the generalized Pareto distribution
• Shrinkage methods for estimating the shape parameter of the generalized Pareto distribution

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