Jimenez-Martin, Juan-Angel; McAleer, Michael; Amaral, … - Tinbergen Instituut - 2013
as a GFC-robust strategy by using an additional set of new extreme value forecasting models and by extending the sample … period for comparison. These extreme value models include DPOT and Conditional EVT. Such models might be expected to be … results confirm that the median remains GFC-robust even in the presence of these new extreme value models. This is illustrated …