An application of extreme value theory for measuring financial risk

DOI10.1007/s10614-006-9025-7zbMath1153.91498OpenAlexW2078136871MaRDI QIDQ853582

Evis këllezi, Manfred Gilli

Publication date: 17 November 2006

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://archive-ouverte.unige.ch/unige:111362

zbMATH Keywords

maximum likelihood estimationextreme value theoryrisk measuresquantile estimationgeneralized extreme value distributiongeneralized pareto distributionprofile likelihood confidence intervals

Mathematics Subject Classification ID

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Uses Software

• EVIM
• ismev
• bootstrap

Cites Work

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• Using a bootstrap method to choose the sample fraction in tail index estimation
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