Tail index and quantile estimation with very high frequency data
By: Jón Daníelsson and Casper G. de Vries
Series: Institute of Economic Studies working paper series -- W96:05
Publisher: Institute of Economic Studies, University of Iceland
Published: 1996
Place of publication: Reykjavík, Iceland
Language: eng
Number of pages: 19
Subjects: Risk assessment; Risk management
Notes: "May 1996."

Includes bibliographical references (p. 18-19).