Santos, Paulo Araújo; Jiménez-Martín, Juan-Ángel; … - Department of Economics and Finance, College of … - 2011
In McAleer et al. (2010b), a robust risk management strategy to the Global Financial Crisis (GFC) was proposed under the Basel II Accord by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast was based on the median of the point VaR...