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Scaling conditional tail probability and quantile estimators

Author

Listed:
  • John Cotter

    (Smurfit School of Business, University College Dublin)

Abstract

We present a novel procedure for scaling relatively high frequency tail probability and quantile estimates for the conditional distribution of returns.

Suggested Citation

  • John Cotter, 2010. "Scaling conditional tail probability and quantile estimators," Working Papers 201006, Geary Institute, University College Dublin.
    • Handle: RePEc:ucd:wpaper:201006
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    File URL: http://www.ucd.ie/geary/static/publications/workingpapers/gearywp201006.pdf
    File Function: First version, 2010
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    JEL classification:

    • I12 - Health, Education, and Welfare - - Health - - - Health Behavior
    • I31 - Health, Education, and Welfare - - Welfare, Well-Being, and Poverty - - - General Welfare, Well-Being
    • I32 - Health, Education, and Welfare - - Welfare, Well-Being, and Poverty - - - Measurement and Analysis of Poverty

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