Jimenez-Martin, Juan-Angel; McAleer, Michael; … - In: Mathematics and Computers in Simulation (MATCOM) 94 (2013) C, pp. 223-237
models as a GFC-robust strategy by using an additional set of new extreme value forecasting models and by extending the … the mean. These extreme value models include DPOT and Conditional EVT. Such models might be expected to be useful in … that the median remains GFC-robust even in the presence of these new extreme value models. This is illustrated by using the …