Tail index and quantile estimation with very high frequency data
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.
|Keywords||Monte Carlo simulations, frequency data, tail index|
|Persistent URL||dx.doi.org/10.1016/S0927-5398(97)00008-X, hdl.handle.net/1765/12405|
Danielsson, J., & de Vries, C.G.. (1997). Tail index and quantile estimation with very high frequency data. Journal of Empirical Finance, 241–257. doi:10.1016/S0927-5398(97)00008-X