Tail risk dynamics of banks with score-driven extreme value models
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DOI: 10.1016/j.jempfin.2025.101593
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- Candia, Claudio & Herrera, Rodrigo, 2024. "An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile," Journal of Empirical Finance, Elsevier, vol. 77(C).
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Keywords
; ; ; ; ; ;JEL classification:
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- F30 - International Economics - - International Finance - - - General
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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