Modelling extreme values by the residual coefficient of variation

Identifier:  RP:2452

Handle: https://hdl.handle.net/20.500.11797/RP2452

Authors:  Padilla, Maria; del Castillo, Joan

Abstract:
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.