Trucíos, Carlos; Taylor, James W. - 2021
more than a single regime, have performed substantially better than standard methods in terms of volatility and Value-at-Risk … forecasting. Three of those procedures are revisited in this paper, and their Value-at-Risk forecasting performance is evaluated … can improve the forecasting of Value-at-Risk and Expected Shortfall, particularly for the 1% risk levels, making them an …