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24-069/III - Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter

  • Authors
    Enzo D'Innocenzo, University of Bologna; Andre Lucas, Vrije Universiteit Amsterdam; Bernd Schwaab, European Central Bank; Xin Zhang, Sveriges Riksbank
  • Publication date
    November 8, 2024
  • Keywords
    dynamic tail risk, integrated score-driven models, extreme value theory
  • JEL
    C22, G11
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