Extreme value modelling of the South African Industrial Index (J520) returns using the generalised extreme value distribution
Year of publication: |
2022
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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
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Subject: | block maxima/minima | extreme value theory | generalised extreme value distribution | maximum likelihood estimation | return level | return period | Ausreißer | Outliers | Statistische Verteilung | Statistical distribution | Südafrika | South Africa | Kapitaleinkommen | Capital income | Theorie | Theory | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Schätzung | Estimation |
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