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04/14/2023
Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risks
We introduce a method to estimate simultaneously the tail and the thresh...
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01/03/2023
Measuring tail risk at high-frequency: An L_1-regularized extreme value regression approach with unit-root predictors
We study tail risk dynamics in high-frequency financial markets and thei...
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11/28/2021
