Unbiased Tail Estimation by an Extension of the Generalized Pareto Distribution

J. Beirlant, E. Joossens, J. Segers

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Abstract

AMS classifications: 62G20; 62G32;
Original languageEnglish
Place of PublicationTilburg
PublisherEconometrics
Number of pages18
Volume2005-112
Publication statusPublished - 2005

Publication series

NameCentER Discussion Paper
Volume2005-112

Keywords

  • bias
  • exchange rate
  • heavy tails
  • peaks-over-threshold
  • regular variation
  • tail index

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    Beirlant, J., Joossens, E., & Segers, J. (2005). Unbiased Tail Estimation by an Extension of the Generalized Pareto Distribution. (CentER Discussion Paper; Vol. 2005-112). Econometrics.