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 Geary Institute, University College Dublin in its series Working Papers with number 201006.
Length: 16 pages
Date of creation: 01 Jan 2010
Date of revision:
Other versions of this item:
- John Cotter, 2011. "Scaling conditional tail probability and quantile estimators," Papers 1103.5965, arXiv.org.
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-04-17 (All new papers)
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