Tail Index Estimation in the Presence of Covariates: Stock Returns' Tail Risk Dynamics

AuthID
 P-00Y-MYQ
3
Author(s)
Nicolau, J
·
Stoykov, MZ
Document Type
Article
Year published
2023
Published
in JOURNAL OF ECONOMETRICS, ISSN: 0304-4076
Volume: 235, Issue: 2, Pages: 2266-2284 (19)
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Publication Identifiers
Scopus: 2-s2.0-85162028895
Wos: WOS:001032879200001
Source Identifiers
ISSN: 0304-4076
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