Scaling conditional tail probability and quantile estimators
AbstractWe present a novel procedure for scaling relatively high frequency tail probability and quantile estimates for the conditional distribution of returns.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1103.5965.
Date of creation: Mar 2011
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Web page: http://arxiv.org/
Other versions of this item:
- John Cotter, 2010. "Scaling conditional tail probability and quantile estimators," Working Papers, Geary Institute, University College Dublin 201006, Geary Institute, University College Dublin.
- C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
- L14 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Transactional Relationships; Contracts and Reputation
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