This paper contains comments on Nonparametric Tail Risk, Stock Returns and the Macroeconomy …

returns. For multivariate density and portfolio risk forecasting, a drawback of these models is the underlying assumption of … generalized hyperbolic innovations. The novelty of the model is that parameter estimation is conducted by joint maximum likelihood …. An extensive empirical study confirms the COMFORT model’s superiority in terms of multivariate density and Value-at-Risk …