This study investigates the practical importance of several VaR modeling and forecasting issues in the context of intraday stock returns. Value-at-Risk (VaR) predictions obtained from daily GARCH models extended with additional information such as the realized volatility and squared overnight...

This study quantifies the presence of financial distress in the cross section of stock returns. Systemic risk is defined as the occurrence of simultaneous tail events for a large fraction of firms. A tail event is interpreted as evidence of downside risk in the tail distribution of financial...

This paper investigates the information content of the ex post overnight return for one-day-ahead equity Value-at-Risk (VaR) forecasting. To do so, we deploy a univariate VaR modeling approach that constructs the forecast at market open and, accordingly, exploits the available overnight...