The maximum Lq-likelihood method: An application to extreme quantile estimation in finance

Methodology and Computing in Applied Probability

Volumn 11, Issue 1, 2009, Pages 3-19

  Ferrari, Davide ^a   Paterlini, Sandra ^b  

^a UNIVERSITY OF MINNESOTA   (United States)

^b UNIVERSITY OF MODENA AND REGGIO EMILIA   (Italy)

Author keywords

Extreme value theory; Maximum likelihood; q Entropy; Tail related risk measures

Indexed keywords

EID: 58649107665     PISSN: 13875841     EISSN: 15737713     Source Type: Journal    
DOI: 10.1007/s11009-007-9063-1     Document Type: Article

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