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Statistical Inferences for Generalized Pareto Distribution Based on Interior Penalty Function Algorithm and Bootstrap Methods and Applications in Analyzing Stock Data

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  • Chao Huang
  • Jin-Guan Lin
  • Yan-Yan Ren

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  • Chao Huang & Jin-Guan Lin & Yan-Yan Ren, 2012. "Statistical Inferences for Generalized Pareto Distribution Based on Interior Penalty Function Algorithm and Bootstrap Methods and Applications in Analyzing Stock Data," Computational Economics, Springer;Society for Computational Economics, vol. 39(2), pages 173-193, February.
    • Handle: RePEc:kap:compec:v:39:y:2012:i:2:p:173-193
    DOI: 10.1007/s10614-011-9256-0
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    References listed on IDEAS

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    1. Drees, Holger & Kaufmann, Edgar, 1998. "Selecting the optimal sample fraction in univariate extreme value estimation," Stochastic Processes and their Applications, Elsevier, vol. 75(2), pages 149-172, July.
    2. Phillip Kearns & Adrian Pagan, 1997. "Estimating The Density Tail Index For Financial Time Series," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 171-175, May.
    3. Jansen, Dennis W & de Vries, Casper G, 1991. "On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective," The Review of Economics and Statistics, MIT Press, vol. 73(1), pages 18-24, February.
    4. L. De Haan & L. Peng, 1998. "Comparison of tail index estimators," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 52(1), pages 60-70, March.
    5. Einmahl, J. H.J. & Dekkers, A. L.M. & de Haan, L., 1989. "A moment estimator for the index of an extreme-value distribution," Other publications TiSEM 81970cb3-5b7a-4cad-9bf6-2, Tilburg University, School of Economics and Management.
    6. Hall, Peter, 1990. "Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems," Journal of Multivariate Analysis, Elsevier, vol. 32(2), pages 177-203, February.
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    Cited by:

    1. Zhang, Kong-Sheng & Lin, Jin-Guan & Xu, Pei-Rong, 2016. "A new class of copulas involving geometric distribution: Estimation and applications," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 1-10.
    2. Chao Huang & Jin-Guan Lin & Yan-Yan Ren, 2013. "Testing for the shape parameter of generalized extreme value distribution based on the $$L_q$$ -likelihood ratio statistic," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 76(5), pages 641-671, July.

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