Measuring tail risk at high-frequency: An $L_1$-regularized extreme value regression approach with unit-root predictors
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This paper has been announced in the following NEP Reports:- NEP-ECM-2023-01-30 (Econometrics)
- NEP-ETS-2023-01-30 (Econometric Time Series)
- NEP-MST-2023-01-30 (Market Microstructure)
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