McAleer, Michael; Jimenez-Martin, Jimenez-Martin, J-A.; … - Faculteit der Economische Wetenschappen, Erasmus … - 2011
A risk management strategy that is designed to be robust to the Global Financial Crisis (GFC), in the sense of selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models, was proposed in McAleer et al. (2010c). The robust forecast is based on the median of the...