Measuring tail risk at high-frequency: An $L_1$-regularized extreme value regression approach with unit-root predictors

no code implementations • 3 Jan 2023 • Julien Hambuckers, Li Sun, Luca Trapin

Studying the high-frequency extreme losses of nine large liquid U. S. stocks using 42 liquidity and volatility predictors, we find the severity of extreme losses to be well predicted by low levels of price impact in period of high volatility of liquidity and volatility.