Hambuckers, Julien; Kratz, Marie; Usseglio-Carleve, Antoine - 2023
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 …