Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - Tinbergen Instituut - 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 …, volatility spillovers from the Chinese stock market to economic neighbours, a detailed comparison of Value-at-Risk estimates, the …