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Multivariate dynamic intensity peaks‐over‐threshold models (replication data)
We propose a multivariate dynamic intensity peaks-over-threshold model to capture extremes in multivariate return processes. The random occurrence of extremes is modeled by a... -
Interval censored regression with fixed effects (replication data)
This paper considers identification and estimation of a fixed-effects model with an interval-censored dependent variable. In each time period, the researcher observes the...
