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Realized extreme quantile: A joint model for conditional quantiles and measures of volatility with EVT refinements
Bee, Marco, Dupuis, Debbie J., Trapin, LucaLanguage:
english
Journal:
Journal of Applied Econometrics
DOI:
10.1002/jae.2615
Date:
January, 2018
File:
PDF, 1.32 MB
english, 2018