The paper introduces a factor model for tail volatility in high-dimensional heavy-tailed panels and combines it with excess-over-threshold methods to estimate intermediate and extreme quantiles.
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Factorized Tail Volatility Model: Augmenting Excess-over-Threshold Method for High-Dimensional Hevay-Tailed Data
The paper introduces a factor model for tail volatility in high-dimensional heavy-tailed panels and combines it with excess-over-threshold methods to estimate intermediate and extreme quantiles.