Chang, Chia-Lin; Allen, David Edmund; McAleer, Michael; … - Facultad de Ciencias Económicas y Empresariales, … - 2013
under the Basel Accord: A Bayesian approach to forecasting value-at-risk of VIX futures, fast clustering of GARCH processes … via Gaussian mixture models, GFC-robust risk management under the Basel Accord using extreme value methodologies …