Tail index estimation in the presence of covariates : stock returns' tail risk dynamics
Year of publication: |
2023
|
---|---|
Authors: | Nicolau, João ; Rodrigues, Paulo M. M. ; Stoykov, Marian Z. |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 235.2023, 2, p. 2266-2284
|
Subject: | Covariates information | Extreme value theory | Pareto-type distributions | Tail index | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income | Schätztheorie | Estimation theory | Ausreißer | Outliers | Risikomaß | Risk measure | Wahrscheinlichkeitsrechnung | Probability theory | Aktienindex | Stock index | Korrelation | Correlation | ARCH-Modell | ARCH model |
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