We propose a robust semi-parametric framework for persistent time-varying extreme tail behavior, including extreme Value-at-Risk (VaR) and Expected Shortfall (ES). The framework builds on Extreme Value Theory and uses a conditional version of the Generalized Pareto Distribution (GPD) for...

Recent rises in macroeconomic volatility have prompted the introduction of quantile vector autoregression (QVAR) models to forecast macroeconomic risk. This paper provides an extensive evaluation of the predictive performance of QVAR models in a pseudo-out-of-sample experiment spanning 112...