Statistical Inferences for Generalized Pareto Distribution Based on Interior Penalty Function Algorithm and Bootstrap Methods and Applications in Analyzing Stock Data

Chao Huang, Jin-Guan Lin () and Yan-Yan Ren

Computational Economics, 2012, vol. 39, issue 2, 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)
Date: 2012
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DOI: 10.1007/s10614-011-9256-0

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