Factorized Tail Volatility Model: Augmenting Excess-over-Threshold Method for High-Dimensional Hevay-Tailed Data

Fuente: arXiv

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Bibliographic Details
Main Authors:	Hu, Yifan, Hou, Yanxi
Format:	Preprint
Published:	2025
Subjects:	Methodology
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2506.00840