Scaling conditional tail probability and quantile estimators

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

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Year of publication:	2010-01-01
Authors:	Cotter, John
Institutions:	Geary Institute, University College Dublin

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 201006 16 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008487714