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~subject:"Portfolio-Management"
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A decision rule to minimize daily capital charges in forecasting value-at-risk
McAleer, Michael
;
Jimenez-Martin, Juan-Angel
;
Pérez …
- In:
Journal of forecasting
29
(
2010
)
7
,
pp. 617-634
Persistent link: https://www.econbiz.de/10008935446
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2
International evidence on GFC-robust forecasts for risk management under the Basel Accord
McAleer, Michael
;
Jiménez-Martín, Juan-Ángel
;
Pérez …
- In:
Journal of forecasting
32
(
2013
)
3
,
pp. 267-288
Persistent link: https://www.econbiz.de/10009758640
Saved in:
3
Single-index and portfolio models for forecasting value-at-risk thresholds
McAleer, Michael
;
Da Veiga, Bernardo
- In:
Journal of forecasting
27
(
2008
)
3
,
pp. 217-235
Persistent link: https://www.econbiz.de/10003738590
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4
Scalar BEKK and indirect DCC
Caporin, Massimiliano
;
McAleer, Michael
- In:
Journal of forecasting
27
(
2008
)
6
,
pp. 537-549
Persistent link: https://www.econbiz.de/10003761681
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