Before revision:  The proposed models are applied to 7 stock market indices and their forecasting performances are compared to those of a range of parametric, non-parametric and semi-parametric models, including GARCH, Conditional AutoRegressive Expectile (CARE , Taylor 2008 ), joint VaR and ES quantile regression models (Taylor, 2019) and simple average of quantiles.
After revision:  The proposed models are applied to 7 stock market indices and their forecasting performances are compared to those of a range of parametric, non-parametric and semi-parametric models, including GARCH, Conditional AutoRegressive Expectile (CARE , Taylor 2008 ), joint VaR and ES quantile regression models and simple average of quantiles.