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Tail fitting, quantile interpolation [6]

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Bullet points include: Many return series (even well diversified ones) seem to exhibit fat-tails, often best seen using quantile-quantile plots as below, see also Appendix A. Some instrument types intrinsically skewed (e.g. high-grade bonds, options). Others (e.g. equities) still exhibit fat-tails, particularly higher frequency data. Some of this is due to the time varying nature of the world, see Appendix B

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