Time Series I: Tails, Extremes and Asymmetries

ESEM

Presenter(s)	Type			Length	Chair	Room Number	Add to calendar
Li Sun Bernd Schwaab Elias Wolf	Contributed Sessions	28/08	16:30 CEST	75 mins	Bernd Schwaab	40.063	Add to Calendar `2023-08-28 16:30:00 2024-05-17 08:44:16 EEA-ESEM 2023: Time Series I: Tails, Extremes and Asymmetries. Room: 40.063 EEA-ESEM 2023 congress@eeassoc.org Europe/Rome public`

Papers

(Listed in order of presenters above)

Measuring tail risk at high-frequency: An L1-regularized extreme value regression approach with unit-root predictors

Modeling extreme events: time-varying extreme tail shape

Estimating Growth at Risk with Skewed Stochastic Volatility Models

Presentations

Measuring tail risk at high-frequency: An L1-regularized extreme value regression approach with unit-root predictors

Modeling extreme events: time-varying extreme tail shape

Estimating Growth at Risk with Skewed Stochastic Volatility Models

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