An investment bank's risk analyst is examining how to incorporate quantile estimators into the organization's risk assessment models. Quantile estimators are statistical tools used to estimate specific quantiles within a data set, such as the median or various percentiles, which are crucial in understanding the distribution and risk characteristics of financial returns. The analyst is particularly interested in the methods used to construct these quantile estimators and the standards by which their accuracy and effectiveness are judged. Which of the following statements about quantile estimators is correct?