Tail index and quantile estimation with very high frequency data

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A precise estimation of the tail shape of forex returns is of critical importance for proper risk assessment. We improve upon the efficiency of conventional estimators that rely on a first order expansion of the tail shape, by using the second order expansion. Here we advocate a moments estimator for the second term. The paper uses both Monte Carlo simulations and the high frequency foreign exchange recordings collected by the Olsen corporation to illustrate the technique. © 1997 Elsevier Science B.V.




Daníelsson, J., & De Vries, C. G. (1997). Tail index and quantile estimation with very high frequency data. In Journal of Empirical Finance (Vol. 4, pp. 241–257). Elsevier. https://doi.org/10.1016/S0927-5398(97)00008-X

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