Component-Based CAViaR with Spillover Effects (CAViaR-SE)

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An extension of the CAViaR model that decomposes conditional VaR into a proper-risk component and a spillover component based on influential assets’ tail risks.

Why It Matters

This is the novel, core econometric model proposed by the paper for tail risk forecasting.

Related Papers

• openalex-2603.25217-modeling-and-forecasting-tail-risk-spillovers-a-component-ba