Tail index and quantile estimation with very high frequency data

139Citations
Citations of this article
54Readers
Mendeley users who have this article in their library.
Get full text

Abstract

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.

Cite

CITATION STYLE

APA

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

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free