existing value at risk (VaR)-implied correlation. Simulations which define period-by-period true correlations show that the ES …-implied correlation is much closer to true correlations than is the VaR-implied correlation with respect to average bias and root … well as to evaluate the impact of weights on the VaR-implied correlation and the ES-implied correlation. The test …

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 point VaR forecasts of a set of conditional volatility models … for the entire period. This paper presents evidence to support the claim that the median point forecast of VaR is …

specification, in the forecasting of multi-period Value-at-Risk (VaR) and Expected Shortfall (ES) across 20 stock indices worldwide … whether or not accounting for long memory in the conditional variance specification improves the accuracy of the VaR and ES … model does not appear to improve the accuracy of the VaR forecasts for the 1-dayahead,10-day-ahead and 20-day …