The paper develops a tail risk forecasting model that incorporates the wealth of economic and financial information available to risk managers. The approach can be viewed as a regularized extension of the two-stage GARCH-EVT model of McNeil and Frey (2000) where we permit a time-varying...

The traditional predictor of technical inefficiency proposed by Jondrow et al. (1982) is a conditional expectation. We study whether, and by how much, the predictor can be improved by using auxiliary information in the conditioning set. To do so, we use simulations to study two types of...