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This paper contains comments on Nonparametric Tail Risk, Stock Returns and the Macroeconomy …
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which data are discarded, leading to estimation inefficiencies. To solve these issues, we extend the tail regression model … issues at the estimation stage. We illustrate the superiority of our approach for inference over classical peaks … stability index, and credit spreads. Moreover, sorting funds along exposure to our tail risk measure discriminates between high …
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