Hoffmann, Ingo; Börner, Christoph J. - In: The Journal of Risk Finance 21 (2020) 3, pp. 201-216
Purpose: This paper aims to evaluate the accuracy of a quantile estimate. Especially when estimating high quantiles from a few data, the quantile estimator itself is a random number with its own distribution. This distribution is first determined and then it is shown how the accuracy of the...