Quantile estimation for the generalized pareto distribution with application to finance
Generalized Pareto distributions (GPD) are widely used for modeling excesses over high thresholds (within the framework of the POT-approach to modeling extremes). The aim of the paper is to give the review of the classical techniques for estimating GPD quantiles, and to apply these methods in fi...
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| Format: | Article |
| Language: | English |
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University of Belgrade
2012-01-01
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| Series: | Yugoslav Journal of Operations Research |
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| Online Access: | http://www.doiserbia.nb.rs/img/doi/0354-0243/2012/0354-02431200013J.pdf |