The selection of upper order statistics in tail estimation is notoriously difficult. Methods that are based on asymptotic arguments, like minimizing the asymptotic MSE, do not perform well in finite samples. Here, we advance a data-driven method that minimizes the maximum distance between the...

Large data sets in finance with millions of observations have becomewidely available. Such data sets enable the construction of reliablesemi-parametric estimates of the risk associated with extreme pricemovements. Our approach is based on semi-parametric statisticalextreme value analysis, and...