Risk management - Scaling conditional tail probability and quantile estimators - The author presents a novel procedure for scaling relatively high-frequency tail probability and quantile estimates for the conditional distribution of returns.
| Year of publication: |
2009
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|---|---|
| Authors: | Cotter, John |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 22.2009, 4, p. 92-97
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