ESTIMATION AND SAMPLING DISTRIBUTIONS OF L-MOMENTS FOR GENERALIZED PARETO DISTRIBUTION
碩士 === 國立清華大學 === 統計學研究所 === 92 === VaR is an important risk management tool in finance and economics, which focuses on tail estimation, especially when financial loss follows a heavy-tailed distribution. It is recently found that Generalized Pareto Distributions (GPDs) from Extreme Value Theory (EV...
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| Format: | Others |
| Language: | en_US |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/15463225584348010565 |