Scaling conditional tail probability and quantile estimators
classification
💱 q-fin.RM
q-fin.ST
keywords
conditionalprobabilityquantilescalingtaildistributionestimatesestimators
read the original abstract
We present a novel procedure for scaling relatively high frequency tail probability and quantile estimates for the conditional distribution of returns.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.