Extreme value modelling of the South African Industrial Index (J520) returns using the generalised extreme value distribution
Owen Jakata and Delson Chikobvu
| Year of publication: |
2022
|
|---|---|
| Authors: | Jakata, Owen ; Chikobvu, Delson |
| Published in: |
International journal of applied management science : IJAMS. - Genève [u.a.] : Inderscience Enterprises, ISSN 1755-8921, ZDB-ID 2471980-8. - Vol. 14.2022, 4, p. 299-315
|
| Subject: | block maxima/minima | extreme value theory | generalised extreme value distribution | maximum likelihood estimation | return level | return period | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income | Ausreißer | Outliers | Südafrika | South Africa | Theorie | Theory | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1504/IJAMS.2022.127009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014231227