Scaling conditional tail probability and quantile estimators
Risk Management
2011-03-31 v1 Statistical Finance
Abstract
We present a novel procedure for scaling relatively high frequency tail probability and quantile estimates for the conditional distribution of returns.
Cite
@article{arxiv.1103.5965,
title = {Scaling conditional tail probability and quantile estimators},
author = {John Cotter},
journal= {arXiv preprint arXiv:1103.5965},
year = {2011}
}