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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