Modelling tail behavior of returns using the generalized extreme value distribution
Monnye Rhoda Makhwiting (University of Limpopo), Caston Sigauke (University of Limpopo), Maseka Lesaoana (University of Limpopo)
| Year of publication: |
March 2014
|
|---|---|
| Authors: | Makhwiting, Monnye Rhoda ; Sigauke, Caston ; Lesaoana, Maseka |
| Subject: | GEV distribution | MLE | Tail quantiles | Return level | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income | Schätzung | Estimation | Börsenkurs | Share price | Volatilität | Volatility | Ausreißer | Outliers | Risikomaß | Risk measure | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011543664