the period 1972:1-2014:12 to forecasts our tail risk indicators with each model in pseudo-real time. Our key finding is …

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 … extreme value distribution of risk. We use a rich data set from the US equity market to explore when this additional …

This paper proposes a new approach to extract quantile-based inflation risk measures using Quantile Autoregressive …-MIDAS model to construct inflation risk measures proxying for uncertainty, third-moment dynamics and the risk of extreme inflation … realizations. We find that these risk measures are linked to the future evolution of inflation and changes in the effective federal …

returns without ruling out normality. This contribution illustrates their usefulness in predicting the downside risk of …

construct managed portfolios of a risk-free asset and market index. …