Tail index and quantile estimation with very high frequency data
Journal of Empirical Finance p. 241- 257
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.
|Journal of Empirical Finance|
|Organisation||Erasmus School of Economics|
Daníelsson, 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