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Realized Peaks over Threshold: A Time-Varying Extreme Value Approach with High-Frequency-Based Measures*
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References

  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2001An Introduction to Statistical Modeling of Extreme Values7,338 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 2004CAViaR2,210 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 1990Models for Exceedances Over High Thresholds1,725 cited
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  • 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
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  • 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

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  • 2012GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS988 cited
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    • 2024An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile30 cited