We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … how these volatility measures can be used for risk management. We find that momentum risk management significantly … increases Sharpe ratios, but at the same time may lead to more pronounced negative skewness and tail risk. Furthermore, momentum …

The paper develops a tail risk forecasting model that incorporates the wealth of economic and financial information … information improves Value-at-Risk and Expected Shortfall forecasts as compared to popular tail risk forecasting methods. Under an … available to risk managers. The approach can be viewed as a regularized extension of the two-stage GARCH-EVT model of McNeil and …