This paper provides a simple, yet reliable, alternative to the (Bayesian) estimation of large multivariate VARs with time variation in the conditional mean equations and/or in the covariance structure. With our new methodology, the original multivariate, n-dimensional model is treated as a set...

It is well documented in the literature that the forecasts of Value-at-Risk (VaR) and Expected Shortfall (ES) can be improved by additional high-frequency information (i.e., realized volatility). However, existing framework provides no apparent way of integrating effective low-frequency signals....