RT Journal Article
T1 Which extreme values are really extreme?
A1 Gonzalo, Jesús
A1 Olmo, José
AB We define the extreme values of any random sample of size n from a distribution function F as the observations exceeding a threshold and following a type of generalized Pareto distribution (GPD) involving the tail index of F. The threshold is the order statistic that minimizes a Kolmogorov-Smirnov statistic between the empirical distribution of the corresponding largest observations and the corresponding GPD. To formalize the definition we use a semiparametric bootstrap to test the corresponding GPD approximation. Finally, we use our methodology to estimate the tail index and value at risk (VaR) of some financial indexes of major stock markets.
PB Oxford University Press
SN 1568-4636
YR 2004
FD 2004
LK https://hdl.handle.net/10016/777
UL https://hdl.handle.net/10016/777
LA eng
LA eng
DS e-Archivo
RD 18 may. 2024