Tail Risk and Quantile Methods in Financial Econometrics
A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Mathematics and Finance".
Deadline for manuscript submissions: 31 March 2026 | Viewed by 665
Special Issue Editor
Special Issue Information
Dear Colleagues,
Understanding financial markets requires moving beyond averages and into the full shape of the return distribution. In periods of crisis, calm, and everything in between, the behavior of returns in the tails—and their changing structure over time—has proven essential for effective risk assessment, pricing, and forecasting.
This Special Issue seeks to bring together innovative research on distributional methods in finance, with a focus on quantiles, tail risk, skewness, and kurtosis. We invite contributions that explore both theoretical advancements and empirical applications, especially those that challenge traditional Gaussian assumptions and embrace the asymmetric, heavy-tailed, and nonlinear realities of financial markets.
Topics may include the following:
- Quantile regression and quantile-based forecasting;
- Tail risk modeling and stress testing;
- Extreme value theory in financial risk management;
- Asymmetric volatility and skewness dynamics;
- Time-varying higher moments (skewness, kurtosis);
- Quantile-based portfolio optimization and allocation;
- Distributional modeling in cryptocurrencies, derivatives, or fixed-income markets;
- Forecasting during market turbulence or crises using nonparametric methods.
We especially welcome interdisciplinary approaches that integrate statistical models, econometrics, and computational finance. The goal is to highlight how distributional analysis can improve our understanding of market dynamics—both under normal conditions and during systemic disruptions.
Dr. Georgios K. Tsiotas
Guest Editor
Manuscript Submission Information
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Keywords
- tail risk
- extreme value theory
- skewness and kurtosis
- financial econometrics
- distributional analysis
- asymmetric risk
- time-varying moments
- inequality measurement
- quantile forecasting
- risk management
- nonlinear dynamics
- macro-financial modeling
- quantile treatment effects
- value-at-risk (VaR)
- stochastic skewness
- portfolio tail risk
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