Statistical methods to expect extreme values : application of POT approach to CAC40 return index
Date
2013
Journal Title
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Publisher
CESER Publications
Abstract
The main objective of the present study is to compare the performances of methods of prediction in the case of financial risk estimations related to market turmoil, and to assess the performance of the Peaks Over Threshold (POT) approach, combined with the maximum likelihood and moment methods for parameter estimations.
Description
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Journal Article
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Keywords
PEAKS OVER THRESHOLDS, GENERALIZED PARETO DISTRIBUTION, SQUARE ERROR METHOD, AUTOMATED THRESHOLD SELECTION METHOD, MULTIPLE THRESHOLD METHOD
Citation
Zoglat, A., El Adlouni, S., Ezzahid, E., Amar, A., Okou , C.G., & Badaoui, F. (2013). Statistical methods to expect extreme values: Application of POT approach to CAC40 return index. International Journal of Statistics & Economics, 10(1).