Modeling and Forecasting Tail Risk Spillovers: A Component-Based CAViaR Approach

By Demetrio Lacava

Published 2026-03-26

Everscope rating

1492.7

Relevance to quantitative trading

8 / 10

Implementation complexity

6 / 10

Reproducibility

3 / 5

About this paper

Methodology: CAViaR with Spillover Effects (CAViaR-SE). Problem types: Time Series Forecasting, Risk Management, Tail Risk Estimation, Cross-asset Spillover Modeling, Quantile Forecasting.

arXiv:2603.25217 · Paper rankings

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