Quantile-based modeling of scale dynamics in financial returns for Value-at-Risk and Expected Shortfall forecasting

By Xiaochun Liu, Richard Luger

Published 2026-03-16

Everscope rating

1572.9

Relevance to quantitative trading

8 / 10

Implementation complexity

6 / 10

Reproducibility

5 / 5

About this paper

Methodology: Quantile-based Scale Dynamics (QbSD). Problem types: Time Series Forecasting, Risk Management, Regression.

arXiv:2603.02357 · Code · Paper rankings

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