Generalized Pareto Distribution

Fit the lower or the upper tail of asset returns using a generalized Pareto distribution.

References

• William H. DuMouchel. Estimating the Stable Index alpha in Order to Measure Tail Thickness: A Critique. Ann. Statist. 11 (4) 1019-1031, December, 1983
• David E. Giles, Hui Feng & Ryan T. Godwin (2016) Bias-corrected maximum likelihood estimation of the parameters of the generalized Pareto distribution, Communications in Statistics - Theory and Methods, 45:8, 2465-2483
• Valerie Chavez-Demoulin, Armelle Guillou, Extreme quantile estimation for beta-mixing time series and applications, Insurance: Mathematics and Economics, Volume 83, 2018, Pages 59-74
• Malay Bhattacharyya, Gopal Ritolia, Conditional VaR using EVT – Towards a planned margin scheme, International Review of Financial Analysis, Volume 17, Issue 2, 2008, Pages 382-395
• de Haan, L., Mercadier, C. & Zhou, C. Adapting extreme value statistics to financial time series: dealing with bias and serial dependence. Finance Stoch 20, 321–354 (2016)