High-Dimensional Realized Tail Risk Forecasting Based on Tail-Event Driven Networks
Published in Working paper, 2025
Recommended citation: He, Sixuan, and Cheng Liu. (2025). "High-Dimensional Realized Tail Risk Forecasting Based on Tail-Event Driven Networks." Working paper.
This paper develops a tail-event driven network framework to forecast high-dimensional realized tail risk. The method captures tail dependence structures and improves prediction accuracy during extreme market conditions.
The paper is currently in preparation. A draft will be available soon.
Recommended citation: He, Sixuan, and Cheng Liu. (2025). “High-Dimensional Realized Tail Risk Forecasting Based on Tail-Event Driven Networks.” Working paper.