EconBase
← All papers

Realized Tail-Risk Conditional Autoregressive Expectile Models: Accurate and Stable Forecasting Performance

Keisuke Sasaki, Yasuhiro Omori

arXiv 9 Oct 2026 · Econometrics

arXiv:2610.13446 · PDF · Extracted main text

Abstract

A realized tail-risk conditional autoregressive expectile (RTCARE) model is proposed for joint forecasting of value-at-risk (VaR) and expected shortfall (ES). Realized tail measures such as the realized quantile and the realized ES, constructed from intraday high-frequency returns, are incorporated into the dynamics and measurement equations of the conditional expectile, allowing information about lower-tail risk to enter the forecasts. The parameters are estimated by Markov chain Monte Carlo, and we evaluate the resulting VaR-ES forecasts in numerical examples and in an empirical application using U.S. stock-return data. Across the considered tail levels, the RTCARE models deliver competitive and often superior forecasting performance relative to existing alternatives, with stable results across Monte Carlo replications and rolling forecast evaluations.

Citation extraction

31
references
58
in-text mentions
31
distinct cited
0
self-citations
9,771
main-text words

appendix boundary found by appendix_command · 72% of the source is main text. Read the extracted text to check this.

Most heavily cited references

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.

ReferenceIntensityMentionsSectionsMain text
1Gerlach \ Wang (2022) `Bayesian semi-parametric realized conditional autoregressive expectile models for tail risk forecasting', Journal of Financial…1.00053100%
2Bayer \ Dimitriadis (2022) `Regression-based expected shortfall backtesting', Journal of Financial Econometrics 20(3), 437–4710.9416383%
3Dimitriadis \ Halbleib (2022) `Realized quantiles', Journal of Business & Economic Statistics 40(3), 1346–13610.8434475%
4Patton, Ziegel \ Chen (2019) `Dynamic semiparametric models for expected shortfall (and value-at-risk)', Journal of Econometrics 211(2), 388–4130.81142100%
5Taylor (2008) `Estimating value at risk and expected shortfall using expectiles', Journal of Financial Econometrics 6(2), 231–2520.81142100%
6Fissler \ Ziegel (2016) `Higher order elicitability and osband's principle', The Annals of Statistics 44(4), 1680–17070.73732100%
7Hansen, Huang \ Shek (2012) `Realized garch: a joint model for returns and realized measures of volatility', Journal of Applied Econometrics 27(6), 877–9060.73732100%
8Bollerslev (1986) `Generalized autoregressive conditional heteroskedasticity', Journal of Econometrics 31(3), 307–3270.64422100%
9Hansen, Lunde \ Nason (2011) `The model confidence set', Econometrica 79(2), 453–4970.64422100%
10Newey \ Powell (1987) `Asymmetric least squares estimation and testing', Econometrica 55(4), 819–8470.64422100%

Showing the top 10 of 31 scored citations.