Tail Index and Quantile Estimation with Very High Frequency Data
CES, Munich, 1996
CES Working Paper No. 116
![](https://cesifo.org/DocImg/ces_wp116.jpg?c=1689236993)
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.