Scaling conditional tail probability and quantile estimators

John Cotter
01 Apr 2009

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A key issue for risk management is to decide the relevant horizon associated with risk measurement. Many different horizons may be relevant, from short (for example, daily) to long (for example, monthly) time frames, and a risk manager must be able to provide measures across a range of horizons.1 This article measures risk at different horizons using volatility forecasts at high frequency as inputs that are then scaled for longer horizons.

[image] - Scaling conditional tail probability and

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