High-Dimensional Tail Index Regression: with An Application to Text Analyses of Viral Posts in Social Media
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- Nicolau, João & Rodrigues, Paulo M.M. & Stoykov, Marian Z., 2023.
"Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics,"
Journal of Econometrics, Elsevier, vol. 235(2), pages 2266-2284.
- Paulo M.M. Rodrigues & João Nicolau, 2023. "Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics," Working Papers w202306, Banco de Portugal, Economics and Research Department.
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This paper has been announced in the following NEP Reports:- NEP-ECM-2024-04-01 (Econometrics)
- NEP-PAY-2024-04-01 (Payment Systems and Financial Technology)
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