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Please use this identifier to cite or link to this item: https://research.matf.bg.ac.rs/handle/123456789/2717
DC FieldValueLanguage
dc.contributor.authorJocković, Jelenaen_US
dc.date.accessioned2025-10-08T10:45:25Z-
dc.date.available2025-10-08T10:45:25Z-
dc.date.issued2012-01-01-
dc.identifier.issn03540243-
dc.identifier.urihttps://research.matf.bg.ac.rs/handle/123456789/2717-
dc.description.abstractGeneralized 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.isoenen_US
dc.publisherBeograd : Fakultet organizacionih naukaen_US
dc.relation.ispartofYugoslav Journal of Operations Researchen_US
dc.subjectExcesses over high thresholdsen_US
dc.subjectGeneralized Pareto distributionsen_US
dc.subjectQuantiles of the distributionen_US
dc.subjectValue at risken_US
dc.titleQuantile estimation for the generalized pareto distribution with application to financeen_US
dc.typeArticleen_US
dc.identifier.doi10.2298/YJOR110308013J-
dc.identifier.scopus2-s2.0-84880833737-
dc.identifier.urlhttps://api.elsevier.com/content/abstract/scopus_id/84880833737-
dc.relation.issn0354-0243en_US
dc.description.rankM23en_US
dc.relation.firstpage297en_US
dc.relation.lastpage311en_US
dc.relation.volume22en_US
dc.relation.issue2en_US
item.languageiso639-1en-
item.cerifentitytypePublications-
item.grantfulltextnone-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.fulltextNo Fulltext-
item.openairetypeArticle-
crisitem.author.deptProbability and Statistics-
crisitem.author.orcid0009-0009-8379-2341-
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