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Keywords: Tail models
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Journal Articles
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2020) 21 (3): 201–216.
Published: 02 July 2020
... the fitted tail model. Based on well-known theoretical preliminary studies, the finite sample distribution of the quantile estimator is determined and the accuracy of the estimator is quantified. Findings In general, the algebraic representation of the finite sample distribution of the quantile estimator...
