Giampiero Gallo, Ostap Okhrin, Giuseppe Storti
arXiv 20 Sep 2024 · Econometrics
arXiv:2409.13516 · PDF · DOI · OpenAlex · Extracted main text
This paper compares the accuracy of tail risk forecasts with a focus on including realized skewness and kurtosis in "additive" and "multiplicative" models. Utilizing a panel of 960 US stocks, we conduct diagnostic tests, employ scoring functions, and implement rolling window forecasting to evaluate the performance of Value at Risk (VaR) and Expected Shortfall (ES) forecasts. Additionally, we examine the impact of the window length on forecast accuracy. We propose model specifications that incorporate realized skewness and kurtosis for enhanced precision. Our findings provide insights into the importance of considering skewness and kurtosis in tail risk modeling, contributing to the existing literature and offering practical implications for risk practitioners and researchers.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Amaya, D., Christoffersen, P., Jacobs, K., and Vasquez, A (2015) Does realized skewness predict the cross-section of equity returns? | 0.811 | 4 | 2 | 100% |
| 2 | Patton, A. J., Ziegel, J. F., and Chen, R (2019) Dynamic semiparametric models for expected shortfall (and value-at-risk) | 0.778 | 17 | 5 | 47% |
| 3 | Engle, R. F. and Manganelli, S (2004) Caviar: Conditional autoregressive value at risk by regression quantiles | 0.778 | 17 | 4 | 47% |
| 4 | Bayer, S. and Dimitriadis, T (2022) Regression-based expected shortfall backtesting | 0.763 | 9 | 3 | 44% |
| 5 | Taylor, J. W (2020) Forecast combinations for value at risk and expected shortfall | 0.693 | 7 | 1 | 100% |
| 6 | Fissler, T. and Ziegel, J. F (2015) Higher order elicitability and Osband's principle | 0.644 | 2 | 2 | 100% |
| 7 | Neuberger, A (2012) Realized Skewness | 0.644 | 2 | 2 | 100% |
| 8 | Neuberger, A. and Payne, R (2021) The skewness of the stock market over long horizons | 0.644 | 2 | 2 | 100% |
| 9 | Choe, G. H. and Lee, K (2014) High moment variations and their application | 0.511 | 2 | 1 | 100% |
| 10 | Xiao, Z. and Koenker, R (2009) Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 33 scored citations.