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
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| Authors: | Makhwiting, Monnye Rhoda ; Sigauke, Caston ; Lesaoana, Maseka |
| Published in: |
Economics, management and financial markets. - New York, NY : Addleton Acad. Publ., ISSN 1938-212X, ZDB-ID 2270776-1. - Vol. 9.2014, 1, p. 41-52
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| 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