2 papers
q-fin.ST2025
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…
econ.EM2024
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…