We propose a new procedure for estimating a dynamic joint distribution of a group of assets in a sequential manner starting from univariate marginals, continuing with pairwise bivariate distributions, then with triplewise trivariate distributions, etc., until the joint distribution for the whole...

The paper develops a tail risk forecasting model that incorporates the wealth of economic and financial information available to risk managers. The approach can be viewed as a regularized extension of the two-stage GARCH-EVT model of McNeil and Frey (2000) where we permit a time-varying...