Quantile estimation for the generalized Pareto distribution with application to finance

DOI10.2298/YJOR110308013JMaRDI QIDQ5259333zbMATH OpenFDO

Authors 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)

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Cited in

(12)

• A multiobjective optimization approach for threshold determination in extreme value analysis for financial time series
• Estimating extreme tail risk measures with generalized Pareto distribution
• Statistical inferences for generalized Pareto distribution based on interior penalty function algorithm and bootstrap methods and applications in analyzing stock data
• Cash flow at risk based on bootstrap simulation and generalized Pareto distribution
• Fitting a Pareto-Normal-Pareto distribution to the residuals of financial data
• Generalized Pareto approximation for a distribution in the Fréchet or Gumbel domain of attraction: Relative approximation error of a high quantile
• Penalized quasi-likelihood estimation of generalized Pareto regression -- consistent identification of risk factors for extreme losses
• scientific article; zbMATH DE number 1979767 (Why is no real title available?)
• 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
• Estimation of value at risk by extreme value methods
• A matching prior for extreme quantile estimation of the generalized Pareto distribution

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