Scaling conditional tail probability and quantile estimators

John Cotter

No 201006, Working Papers from Geary Institute, 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.

Pages: 16 pages
Date: 2010-01-01
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.ucd.ie/geary/static/publications/workingpapers/gearywp201006.pdf First version, 2010 (application/pdf)

Related works:
Working Paper: Scaling conditional tail probability and quantile estimators (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ucd:wpaper:201006

Access Statistics for this paper

More papers in Working Papers from Geary Institute, University College Dublin Contact information at EDIRC.
Bibliographic data for series maintained by Geary Tech ().