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Tail index estimation in the presence of covariates : stock returns' tail risk dynamics
Nicolau, João
;
Rodrigues, Paulo M. M.
;
Stoykov, Marian Z.
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 2266-2284
Persistent link: https://www.econbiz.de/10014471455
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2
Portfolio Diversification under Local and Moderate Deviations from Power Laws.
Walden, Johan
;
Ibragimov, Rustam
-
2008
models with
Pareto-type
distributions
that exhibit local or moderate deviations from power tails in the form of additional …
Persistent link: https://www.econbiz.de/10009431952
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