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Measuring tail risk at high-frequency: An $L_1$-regularized extreme value regression approach with unit-root predictors. (arXiv:2301.01362v1 [econ.EM]) http://arxiv.org/abs/2301.01362
Measuring tail risk at high-frequency: An $L_1$-regularized extreme value regression approach with unit-root predictors. (arXiv:2301.01362v1 [econ.EM]) http://arxiv.org/abs/2301.01362