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Pseudo\u2010real\u2010time forecasts are generated from: (a) sets of autoregressive and factor\u2010augmented vector autoregressions (VARs), and (b) sets of autoregressive and factor\u2010augmented quantile projections. Our key finding is that forecasts obtained with AR and factor\u2010augmented VAR forecasts significantly underestimate tail risks, while quantile projections deliver fairly accurate forecasts and reliable early warning signals for tail real and financial risks up to a 1\u2010year horizon. 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