"Estimating extreme tail risk measures with generalized Pareto distribution."

Myung Hyun Park, Joseph H. T. Kim (2016)

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DOI: 10.1016/J.CSDA.2015.12.008

access: closed

type: Journal Article

metadata version: 2020-02-18

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Myung Hyun Park, Joseph H. T. Kim:
Estimating extreme tail risk measures with generalized Pareto distribution. Comput. Stat. Data Anal. 98: 91-104 (2016)

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