Estimating extreme tail risk measures with generalized Pareto distribution
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DOI: 10.1016/j.csda.2015.12.008
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Cited by:
- Xu Zhao & Zhongxian Zhang & Weihu Cheng & Pengyue Zhang, 2019. "A New Parameter Estimator for the Generalized Pareto Distribution under the Peaks over Threshold Framework," Mathematics, MDPI, vol. 7(5), pages 1-18, May.
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Keywords
Generalized Pareto distribution; Value-at-Risk (VaR); Conditional Tail Expectation (CTE); Tail VaR; Peaks over threshold (POT); Weighted nonlinear least squares;All these keywords.
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