© 2016, Institut d'Estadistica de Catalunya. All rights reserved. The possibilities of the use of the coefficient of variation over a high threshold in tail modelling are discussed. The paper also considers multiple threshold tests for a generalized Pareto distribution, together with a threshold selection algorithm. One of the main contributions is to extend the methodology based on moments to all distributions, even without finite moments. These techniques are applied to euro/dollar daily exchange rates and to Danish fire insurance losses.
|Publication status||Published - 1 Jul 2016|
- Heavy tails
- High quantile estimation
- Statistics of extremes
- Value at risk