Modeling Extreme Events: Time-Varying Extreme Tail Shape
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DOI: 10.1080/07350015.2023.2260439
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- Bernd Schwaab & Xin Zhang & Andre Lucas, 2020. "Modeling extreme events: time-varying extreme tail shape," Tinbergen Institute Discussion Papers 20-076/III, Tinbergen Institute.
- Schwaab, Bernd & Zhang, Xin & Lucas, André & D’Innocenzo, Enzo, 2020. "Modeling extreme events:time-varying extreme tail shape," Working Paper Series 399, Sveriges Riksbank (Central Bank of Sweden), revised 01 Jun 2023.
- Schwaab, Bernd & Zhang, Xin & Lucas, André, 2021. "Modeling extreme events: time-varying extreme tail shape," Working Paper Series 2524, European Central Bank.
References listed on IDEAS
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Cited by:
- Eric Beutner & Julia Schaumburg & Barend Spanjers, 2024. "Bootstrapping GARCH Models Under Dependent Innovations," Tinbergen Institute Discussion Papers 24-008/III, Tinbergen Institute.
- Julien Hambuckers & Li Sun & Luca Trapin, 2023. "Measuring tail risk at high-frequency: An $L_1$-regularized extreme value regression approach with unit-root predictors," Papers 2301.01362, arXiv.org.
- Eric A. Beutner & Yicong Lin & Andre Lucas, 2023. "Consistency, distributional convergence, and optimality of score-driven filters," Tinbergen Institute Discussion Papers 23-051/III, Tinbergen Institute.
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JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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