Modelling extreme values by the residual coefficient of variation

Joan Del Castillo, Maria Padilla

Research output: Contribution to journalArticleResearchpeer-review

8 Citations (Scopus)


© 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.
Original languageEnglish
Pages (from-to)303-319
Issue number2
Publication statusPublished - 1 Jul 2016


  • Heavy tails
  • High quantile estimation
  • Statistics of extremes
  • Value at risk


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