Parsimonious Quantile Regression of Financial Asset Tail Dynamics via Sequential Learning
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This paper has been announced in the following NEP Reports:- NEP-BIG-2020-11-02 (Big Data)
- NEP-ECM-2020-11-02 (Econometrics)
- NEP-ETS-2020-11-02 (Econometric Time Series)
- NEP-RMG-2020-11-02 (Risk Management)
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