Evaluating risk in precious metal prices with generalised lambda, generalised pareto and generalised extreme value distributions
In this study we investigate the performance of the generalised lambda distribution (GLD), the generalised Pareto distribution (GPD) and the generalised extreme value distribution (GEVD) in modelling daily platinum, gold and silver price log-returns. Our primary goal is to compare GLD against GPD, a...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
2017
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| Online Access: | http://hdl.handle.net/20.500.11937/67534 |