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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Bibliographic Details

Published in:	Yugoslav Journal of Operations Research
Main Author:	Jocković Jelena
Format:	Article
Language:	English
Published:	University of Belgrade 2012-01-01
Subjects:	generalized Pareto distributions excesses over high thresholds quantiles of the distribution Value at Risk
Online Access:	http://www.doiserbia.nb.rs/img/doi/0354-0243/2012/0354-02431200013J.pdf