One of the key components of financial risk management is risk measurement. This typically requires modeling, estimating and forecasting tail-related quantities of the asset returns' conditional distribution. Recent advances in the financial econometrics literature have developed several models...

The last global financial crisis (2007–2008) has highlighted the weaknesses of value at risk (VaR) as ameasure of market risk, as this metric by itself does not take liquidity risk into account. To address this problem, the academic literature has proposed incorporating liquidity risk into...