arXiv 2 Mar 2026 · Econometrics · publishedInternational Journal of Forecasting (2025) · 2 citations (OpenAlex)
arXiv:2603.02357 · PDF · DOI · OpenAlex · Extracted main text
We introduce a semiparametric approach for forecasting Value-at-Risk (VaR) and Expected Shortfall (ES) by modeling the conditional scale of financial returns, defined as the difference between two specified quantiles, via restricted quantile regression. Focusing on downside risk, VaR is derived from the left-tail quantile of rescaled returns, and ES is approximated by averaging quantiles below the VaR level. The method delivers robust, distribution-free estimates of extreme losses and captures skewness, heavy tails, and leverage effects. Simulation experiments and empirical analysis show that it often outperforms established models, including GARCH and joint VaR-ES conditional-quantile approaches. An application to daily returns on major international stock indices, spanning the COVID-19 period, highlights its effectiveness in capturing risk dynamics.
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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 | A.J. Patton and J.F. Ziegel and R. Chen (2019) Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk) | 1.000 | 6 | 3 | 100% |
| 2 | J.W. Taylor (2019) Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution | 1.000 | 5 | 4 | 100% |
| 3 | B.E. Hansen Autoregressive conditional density estimation | 0.874 | 6 | 2 | 100% |
| 4 | T. Fissler and J.F. Ziegel Higher Order Elicitability and Osband's Principle | 0.811 | 4 | 2 | 100% |
| 5 | James W. Taylor (2005) Generating Volatility Forecasts from Value at Risk Estimates | 0.811 | 4 | 2 | 100% |
| 6 | Carlo Acerbi and Dirk Tasche (2002) On the coherence of expected shortfall | 0.737 | 3 | 2 | 100% |
| 7 | Daniel B. Nelson (1991) Conditional Heteroskedasticity in Asset Returns: A New Approach | 0.737 | 3 | 2 | 100% |
| 8 | Hansen, Peter R. and Lunde, Asger and Nason, James M (2011) The model confidence set | 0.644 | 4 | 1 | 100% |
| 9 | Creal, Drew and Koopman, Siem Jan and Lucas, André (2013) GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS | 0.644 | 2 | 2 | 100% |
| 10 | Lawrence R. Glosten and Ravi Jagannathan and David E. Runkle (1993) On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 42 scored citations.