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 … VaR forecasts of a set of conditional volatility models. This risk management strategy is GFC-robust in the sense that … VaR risk management strategy is GFC-robust as it provides stable results across different periods relative to other VaR …