Modelling tail behavior of returns using the generalized extreme value distribution
Year of publication: |
March 2014
|
---|---|
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
|
Subject: | GEV distribution | MLE | Tail quantiles | Return level | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income | Ausreißer | Outliers | Schätzung | Estimation | Wahrscheinlichkeitsrechnung | Probability theory |
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