Recent literature has focuses on realized volatility models to predict financial risk. This paper studies the benefit of explicitly modeling jumps in this class of models for value at risk (VaR) prediction. Several popular realized volatility models are compared in terms of their VaR forecasting...

We propose a new 3-step resampling approach to forecast portfolio tail risk conditional on the economic state. The approach first predicts economic states using a set of macroeconomic and financial variables. We then forecast the joint distribution of multiple assets in the portfolio according...