Forecasting tail risk measures for financial time series: An extreme value approach with covariates

C-Tier

Journal: Journal of Empirical Finance

Year: 2023

Volume: 71

Issue: C

Pages: 29-50

Authors (4)

James, Robert (not in RePEc) Leung, Henry (not in RePEc) Leung, Jessica Wai Yin (not in RePEc) Prokhorov, Artem (University of Sydney)

Score contribution per author:

0.252 = (α=2.02 / 4 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count