Tail index estimation in the presence of covariates: stock returns' tail risk dynamics
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Publication:6108353
DOI10.1016/j.jeconom.2023.04.002OpenAlexW4379185303MaRDI QIDQ6108353
Paulo M. M. Rodrigues, João Nicolau, Marian Z. Stoykov
Publication date: 29 June 2023
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2023.04.002
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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