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Realized Peaks over Threshold: A Time-Varying Extreme Value Approach with High-Frequency-Based Measures
Realized Peaks over Threshold: A Time-Varying Extreme Value Approach with High-Frequency-Based Measures
2019
Marco Bee
Debbie J. Dupuis
Luca Trapin
Keywords:
Econometrics
Extreme value theory
Economics
Realized variance
Tail risk
Correction
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