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Article(electronic)#22020
Carbon Tail Risk
In: The Review of Financial Studies, Volume 2021, Issue 34(3)
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Open Access#72017
Forecasting Tail Risks
This paper presents an early warning system as a set of multi-period forecasts of indicators of tail real and financial risks obtained using a large database of monthly US data for the period 1972:1-2014:12. Pseudo-real-time forecasts are generated from: (a) sets of autoregressive and factor-augmented vector autoregressions (VARs), and (b) sets of autoregressive and factor-augmented quantile projections. Our key finding is that forecasts obtained with AR and factor-augmented VAR forecasts significantly underestimate tail risks, while quantile projections deliver fairly accurate forecasts and reliable early warning signals for tail real and financial risks up to a 1-year horizon.
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Article(electronic)#112019
Tail Risk Interdependence
In: Bank of England Working Paper No. 815, August 2019
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Article(electronic)#122020
Tail Risk Interdependence
In: Forthcoming in International Journal of Finance and Economics, https://doi.org/10.1002/ijfe.2077
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Article(electronic)#142022
Tail Risk and Expectations
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Article(electronic)#152017
Tail Risk Concerns Everywhere
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