Title:

Tail Index Estimation in the Presence of Covariates: Stock Returns' Tail Risk Dynamics

Authors:

João Nicolau (U Lisboa)
Paulo M. M. Rodrigues (Bank of Portugal, U Nova)
Marian Z. Stoykov (U Nova)

Journal:

Journal of Econometrics

Year:

2023

Volume:

235

Number:

2

Pages:

2266-2284

JEL codes:

C58 - Financial Econometrics
G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure