4 papers
Using quantile time series and historical simulation to forecast financial risk multiple steps ahead
Richard Gerlach, Antonio Naimoli, Giuseppe Storti
A method for quantile-based, semi-parametric historical simulation estimation of multiple step ahead Value-at-Risk (VaR) and Expected Shortfall (ES) models is developed. It uses th…
Financial Volatility and Risk Forecasting Incorporating a Larger Number of Realized Measures
Qianli Zhao, Chao Wang, Richard Gerlach +2
Realised volatility has become increasingly prominent in volatility forecasting due to its ability to capture intraday price fluctuations. With a growing variety of realised volati…
Dynamic tail risk forecasting: what do realized skewness and kurtosis add?
Giampiero Gallo, Ostap Okhrin, Giuseppe Storti
This paper compares the accuracy of tail risk forecasts with a focus on including realized skewness and kurtosis in "additive" and "multiplicative" models. Utilizing a panel of 960…
Combining Value-at-Risk and Expected Shortfall forecasts via the Model Confidence Set
Alessandra Amendola, Vincenzo Candila, Antonio Naimoli +1
To comply with increasingly stringent international standards in risk management and regulation, several approaches have been developed in the literature for forecasting tail-risk…