We empirically investigate the possibilities for enhancing value-at-risk predictions by explicit modelling conditional higher order moment dynamics of financial returns. Using one-day-ahead VaR forecasts for 5 highly liquid constituents of the S&P500 index from different industrial sectors, we...

Quantile regression provides sports economists with a powerful research tool. Unlike least squares, it is not tied to restrictive assumptions about the distribution of the error term, which makes it particularly valuable in settings with highly skewed distributions, like sports labor markets. It...