Risk Analysis via Generalized Pareto Distributions
نویسندگان
چکیده
منابع مشابه
Still Fit Generalized Pareto Distributions?
In the literature of analyzing extremes, both generalized Pareto distribution and Pareto distribution are employed to infer the tail of a distribution with a known positive extreme value index. Similar studies exist for a known negative extreme value index. Intuitively, one should not employ the generalized Pareto distribution in case of knowing the sign of the extreme value index. In this pape...
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This vignette is designed to give a short overview about Pareto Distributions and Generalized Pareto Distributions (GPD). We will work with the SPC.we data of our quantmod vignette. Therefore we have to reproduce the SPC.we data in exactly the same way as described the quantmod vignette. In financial data analysis stock indices as the S&P 500 index are typically analyzed by using the returns of...
متن کاملExploring Heavy Tails Pareto and Generalized Pareto Distributions
This vignette is designed to give a short overview about Pareto Distributions and Generalized Pareto Distributions (GPD). We will work with the SPC.we data of our quantmod vignette. Therefore we have to reproduce the SPC.we data in exactly the same way as described the quantmod vignette. In financial data analysis stock indices as the S&P 500 index are typically analyzed by using the returns of...
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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2021
ISSN: 0735-0015,1537-2707
DOI: 10.1080/07350015.2021.1874390