Tail Index and Quantile Estimation with Very High Frequency Data

Casper De Vries, Jon Danielsson and de Vries Casper G
Authors registered in the RePEc Author Service: Casper G. de Vries

No 116, CESifo Working Paper Series from CESifo

Abstract: Precise estimation of the tail shape of forex returns is of critical importance for proper risk assessment. We improve upon the efficiency of conventional estimators that rely on a first order expansion of the tail shape, by using the second order expansion. Here we advocate a moments estimator for the second term. The paper uses both Monte Carlo simulations and the high frequency foreign exchange recordings collected by the Olsen corporation to illustrate the technique.

Date: 1996
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