Hi there,

We are interested in fitting a generalized pareto distribution to the 
tails of our
stock returns, with a kernel fit to the remainder. We looked at gpdFit, 
but it fits
tails, instead of the entire distribution. We thought gpdFit worked 
like the corresponding
function in FinMetrics – gpd.tail. Alas, gpdFit in fExtremes works 
differently,
by fitting tails only, instead of the entire distribution.

I looked at the archives for information on this problem, but didn’t 
find anything.
At this point, we plan to fit each tail separately, and fit the middle 
of the distribution
with another non-parametric method. We are really looking for the 
quantiles of the
fitted distribution.

Has anyone done this before, and might be willing to share the 
algorithm they used?

Thanks very much,
Dale Smith
dtsmith@mindspring.com
	[[alternative text/enriched version deleted]]

