Realizing the extremes: Estimation of tail-risk measures from a high-frequency perspective

C-Tier

Journal: Journal of Empirical Finance

Year: 2016

Volume: 36

Issue: C

Pages: 86-99

Authors (3)

Bee, Marco (not in RePEc) Dupuis, Debbie J. (not in RePEc) Trapin, Luca

Score contribution per author:

0.336 = (α=2.02 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count