Statistical Inferences for Generalized Pareto Distribution Based on Interior Penalty Function Algorithm and Bootstrap Methods and Applications in Analyzing Stock Data
Jin-Guan Lin () and
Computational Economics, 2012, vol. 39, issue 2, pages 173-193
Keywords: Daily closing price; Generalized Pareto distribution; Threshold; Interior penalty function algorithm; Bootstrap method; Value at Risk (search for similar items in EconPapers)
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Persistent link: http://EconPapers.repec.org/RePEc:kap:compec:v:39:y:2012:i:2:p:173-193
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