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Quantile estimation for the generalized pareto distribution with application to finance
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What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
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Statistical Analysis of Extreme Values — from Insurance, Finance, Hydrology and Other Fields
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Robust and Efficient Estimation for the Generalized Pareto Distribution
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Stock returns and the weekend effect
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Estimating extremes in climate change simulations using the peaks-over-threshold method with a non-stationary threshold
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Revisiting some estimation methods for the generalized Pareto distribution
inferredcites →https://doi.org/10.1016/j.jspi.2009.07.024openalex-snapshot
Estimation of for generalized Pareto distribution
inferredcites →https://doi.org/10.1016/j.jspi.2011.01.020openalex-snapshot
Coupon collector's problem and generalized Pareto distributions
inferredcites →https://doi.org/10.1016/j.spl.2008.10.021openalex-snapshot
Estimation of the generalized Pareto distribution
inferredcites →https://doi.org/10.1023/a:1012233423407openalex-snapshot
Robust Estimation of the Generalized Pareto Distribution
inferredcites →https://doi.org/10.1029/wr015i005p01049openalex-snapshot
Probability weighted moments: Definition and relation to parameters of several distributions expressable in inverse form
inferredcites →https://doi.org/10.1080/01621459.1997.10473683openalex-snapshot
Fitting the Generalized Pareto Distribution to Data
inferredcites →https://doi.org/10.1111/j.1540-6261.1984.tb03675.xopenalex-snapshot
A Further Investigation of the Weekend Effect in Stock Returns
inferredcites →https://doi.org/10.1111/j.2517-6161.1990.tb01796.xopenalex-snapshot
Models for Exceedances Over High Thresholds
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Residual Life Time at Great Age
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Statistical Inference Using Extreme Order Statistics
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The Day-of-the-Week Effect in the Saudi Stock Exchange: A Non-Linear Garch Analysis
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STATISTICS OF EXTREMES: MODELING ECOLOGICAL DISTURBANCES
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Parameter and Quantile Estimation for the Generalized Pareto Distribution
inferredcites →https://doi.org/10.2307/2330769openalex-snapshot
An Examination of the Robustness of the Weekend Effect
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Incoming claims: where this work appears in other papers’ reference lists and arguments.
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Time Series Anomaly Detection With Adversarial Reconstruction Networks
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Shrinkage Methods for Estimating the Shape Parameter of the Generalized Pareto Distribution
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Comparison of Parameter Estimators for Generalized Pareto Distribution under Peak over Threshold
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Robust Multi-Objective Optimization Model for Reserve and Credit Fund Allocation in Banking Under Conditional Value-at-Risk Constraints
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Double Risk Catastrophe Reinsurance Premium Based on Houses Damaged and Deaths
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Estimation of Maximum Potential Losses for Digital Banking Transaction Risks Using the Extreme Value-at-Risks Method
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Bayesian Modelling of Summer Daily Maximum Temperature Data
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IDENTIFICATION AND CHARACTERIZATION OF EXTREME RAINFALLS DISTRIBUTION IN MALANG RESIDENCE
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Estimation of the Extreme Distribution Model of Economic Losses Due to Outbreaks Using the POT Method with Newton Raphson Iteration
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Estimation of Distribution Function Parameters for Cases of Risk of Mortality Rate due to Malnutrition and Unhealthy Sanitation in Indonesia
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Déformation des cycles saisonniers de variables climatiques
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Characteristic and Moment Generating Functions of Generalised Pareto (GP3) and Weibull Distributions
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