Milian Bachem - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T13:26:05+00:00Covariates Hiding in the Tails
https://www.bankofcanada.ca/2021/09/staff-working-paper-2021-45/
We characterize the bias in cross-sectional Hill estimates caused by common underlying factors and propose two simple-to-implement remedies. To test for the presence, direction and size of the bias, we use monthly US stock returns and annual US Census county population data.2021-09-29T14:11:22+00:00enCovariates Hiding in the Tails2021-09-29Econometric and statistical methodsStaff Working Paper 2021-45https://www.bankofcanada.ca/wp-content/uploads/2021/09/swp2021-45.pdfStaff Working Paper 2021-45Milian BachemLerby ErgunCasper G. de VriesSeptember 2021CC0C01C1C14C5C58