20-076/III - Modeling extreme events: time-varying extreme tail shape

• Authors
  Bernd Schwaab, European Central Bank; Xin Zhang, Sveriges Riksbank; Andre Lucas, Vrije Universiteit Amsterdam
• Publication date
  November 10, 2020

• Keywords
  dynamic tail risk, observation-driven models, extreme value theory, European Central Bank (ECB), Securities Markets Programme (SMP)
• JEL
  C22, G11