Tail index estimation in the presence of covariates: stock returns' tail risk dynamics (Q6108353)

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scientific article; zbMATH DE number 7704534
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Tail index estimation in the presence of covariates: stock returns' tail risk dynamics
scientific article; zbMATH DE number 7704534

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    Tail index estimation in the presence of covariates: stock returns' tail risk dynamics (English)
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    29 June 2023
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    extreme value theory
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    Pareto-type distributions
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    tail index
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    covariates information
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