McAleer, Michael; Jimenez-Martin, Jimenez-Martin, J-A.; … - Faculteit der Economische Wetenschappen, Erasmus … - 2010
A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value … 2008-09 global financial crisis. We investigate the performance of a variety of single and combined VaR forecasts in terms …