Overview -- Methods for describing oscillations, fluctuations, and cycles in univariate series -- Constructing reference cycles with multivariate information -- Model-based rules for describing recurrent events -- Measuring recurrent event features in univariate data -- Measuring synchronization...

1. Introduction -- 2. Architecture of grey forecasting models -- 3. Mechanism and reduction of grey forecasting models -- 4. Continuous-time grey endogenous forecasting models -- 5. Discrete-time grey endogenous forecasting models -- 6. Continuous-time grey exogenous forecasting models -- 7....

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...