McAleer, Michael; Jiménez-Martín, Juan-Ángel; … - Institute of Economic Research, Kyoto University - 2011
. (2010c). The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility models … for the entire period. This paper presents evidence to support the claim that the median point forecast of VaR is … examine the performance of the Median strategy in terms of the number of violations and daily capital charges, among other …