Quantile Estimation for the Generalized Pareto Distribution With Application to Finance

@article{JelenaJocković2012,
author = {Jelena Jocković},
journal = {The Yugoslav Journal of Operations Research},
keywords = {excesses over high thresholds; quantiles of the distribution; value at risk},
language = {eng},
number = {44},
pages = {297-311},
publisher = {Faculty of Organizational Sciences},
title = {Quantile Estimation for the Generalized Pareto Distribution With Application to Finance},
url = {http://eudml.org/doc/261840},
volume = {22},
year = {2012},
}

TY - JOUR
AU - Jelena Jocković
TI - Quantile Estimation for the Generalized Pareto Distribution With Application to Finance
JO - The Yugoslav Journal of Operations Research
PY - 2012
PB - Faculty of Organizational Sciences
VL - 22
IS - 44
SP - 297
EP - 311
LA - eng
KW - excesses over high thresholds; quantiles of the distribution; value at risk
UR - http://eudml.org/doc/261840
ER -