In this study, we respond to the criticism that the value-at-risk (VaR) measure fails during financial crises and is only applicable during periods without asset price bubbles. We propose a new dating mechanism that is based on the work of Phillips (2015) to date-stamp the origination and...

Modeling futures market risk simultaneously influenced by macro low-frequency information and daily risk factors is a valuable challenge. We propose a new general framework for it based on the flexible GARCH-MIDAS model. It uses a skewed t distribution to describe the asymmetry of long and short...

Dependent Tail Value-at-Risk, abbreviated as DTVaR, is a copula-based extension of Tail Value-at-Risk (TVaR). This risk measure is an expectation of a target loss once the loss and its associated loss are above their respective quantiles but bounded above by their respective larger quantiles. In...