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| | Citations: Tail Index and Quantile Estimation with Very High Frequency Data - Danielsson, de Vries (ResearchIndex) |
 | | For a typical large portfolio (in terms of number of assets) the conditional approach mayalso just not be feasible since this requires constructing and updating huge conditional variance covariance matrices. |
 | | Danielsson, J., and C. de Vries (1997b): \Tail index and quantile estimation with very high frequency data," Journal of Empirical Finance, 4, 241-257. |
 | | Danielsson, J., and C. de Vries (1997a): \Tail index and quantile estimation with very high frequency data," Journal of Empirical Finance, 4, 241-257. |
| citeseer.ist.psu.edu /context/920626/0 (898 words) |
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