Tail Index and Quantile Estimation with Very High Frequency Data
WP #116
Posted: 8 Jan 1997
Date Written: August 1996
Abstract
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.
JEL Classification: C15, G12
Suggested Citation: Suggested Citation
De Vries, Casper and Danielsson, Jon, Tail Index and Quantile Estimation with Very High Frequency Data (August 1996). WP #116, Available at SSRN: https://ssrn.com/abstract=8013
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