Please use this identifier to cite or link to this item:
https://research.matf.bg.ac.rs/handle/123456789/2717| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Jocković, Jelena | en_US |
| dc.date.accessioned | 2025-10-08T10:45:25Z | - |
| dc.date.available | 2025-10-08T10:45:25Z | - |
| dc.date.issued | 2012-01-01 | - |
| dc.identifier.issn | 03540243 | - |
| dc.identifier.uri | https://research.matf.bg.ac.rs/handle/123456789/2717 | - |
| dc.description.abstract | Generalized Pareto distributions (GPD) are widely used for modeling excesses over high thresholds (within the framework of the POT-approach to modeling extremes). The aim of the paper is to give the review of the classical techniques for estimating GPD quantiles, and to apply these methods in finance - to estimate the Valueat- Risk (VaR) parameter, and discuss certain difficulties related to this subject. | en_US |
| dc.language.iso | en | en_US |
| dc.publisher | Beograd : Fakultet organizacionih nauka | en_US |
| dc.relation.ispartof | Yugoslav Journal of Operations Research | en_US |
| dc.subject | Excesses over high thresholds | en_US |
| dc.subject | Generalized Pareto distributions | en_US |
| dc.subject | Quantiles of the distribution | en_US |
| dc.subject | Value at risk | en_US |
| dc.title | Quantile estimation for the generalized pareto distribution with application to finance | en_US |
| dc.type | Article | en_US |
| dc.identifier.doi | 10.2298/YJOR110308013J | - |
| dc.identifier.scopus | 2-s2.0-84880833737 | - |
| dc.identifier.url | https://api.elsevier.com/content/abstract/scopus_id/84880833737 | - |
| dc.relation.issn | 0354-0243 | en_US |
| dc.description.rank | M23 | en_US |
| dc.relation.firstpage | 297 | en_US |
| dc.relation.lastpage | 311 | en_US |
| dc.relation.volume | 22 | en_US |
| dc.relation.issue | 2 | en_US |
| item.grantfulltext | none | - |
| item.fulltext | No Fulltext | - |
| item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
| item.languageiso639-1 | en | - |
| item.cerifentitytype | Publications | - |
| item.openairetype | Article | - |
| crisitem.author.dept | Probability and Statistics | - |
| crisitem.author.orcid | 0009-0009-8379-2341 | - |
| Appears in Collections: | Research outputs | |
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