Scaling Conditional Tail Probability and Quantile Estimators

  title={Scaling Conditional Tail Probability and Quantile Estimators},
  author={John Cotter},
  journal={Risk Management eJournal},
  • J. Cotter
  • Published 2 December 2009
  • Mathematics
  • Risk Management eJournal
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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