Quantile estimation in ultra-high frequency financial data: a comparison between parametric and semiparametric approach

DOI10.1007/s10260-003-0058-yzbMath1056.62114OpenAlexW299301809WikidataQ126572153 ScholiaQ126572153MaRDI QIDQ1767007

Paola Zuccolotto

Publication date: 3 March 2005

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-003-0058-y

zbMATH Keywords

quantile estimationdistribution freeACD modelsultra-high frequency datasample random variables

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Nonparametric tolerance and confidence regions (62G15)