Extreme tail risk estimation with the generalized Pareto distribution under the peaks-over-threshold framework
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DOI: 10.1080/03610926.2018.1549253
Abstract: Abstract Modeling excesses over a high threshold and estimating extreme tail risk are two utmost studies in the extreme value literature. Traditional techniques are limited on handling these two challenges. To better analyze this type… read more here.
Keywords: tail risk; extreme tail; tail; generalized pareto ... See more keywords