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Persistent link: https://www.econbiz.de/10009126885
We propose a dynamic semi-parametric framework to study time variation in tail parameters. The framework builds on the Generalized Pareto Distribution (GPD) for modeling peaks over thresholds as in Extreme Value Theory, but casts the model in a conditional framework to allow for time-variation...
Persistent link: https://www.econbiz.de/10012429187