a blocked realized kernel estimator, different smoothing windows, various regularization methods and two forecasting … studies have shown and translate into substantial utility gains from the perspective of an investor with pronounced risk …

financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and …, especially the Frank-GARCH models provide most conservative risk forecasts and out-perform all rival models. -- Copula … distributions ; expected shortfall ; GARCH ; model selection ; non-Gaussian innovations ; risk forecasting ; value-at-risk …