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
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https://geary.ucd.ie/workingpapers/workingpapers/gearywp201006.pdf First version, 2010 (application/pdf)

Related works:
Working Paper: Scaling conditional tail probability and quantile estimators (2011)
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