Scaling conditional tail probability and quantile estimators

John Cotter

Papers from arXiv.org

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

Date: 2011-03
New Economics Papers: this item is included in nep-rmg
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http://arxiv.org/pdf/1103.5965 Latest version (application/pdf)

Related works:
Working Paper: Scaling conditional tail probability and quantile estimators (2010)
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