McAleer, Michael; Jimenez-Martin, Juan-Angel; … - In: International Review of Economics & Finance 27 (2013) C, pp. 97-111
A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value … VaR forecasts of a set of conditional volatility models. This risk management strategy is GFC-robust in the sense that … maintaining the same risk management strategies before, during and after a financial crisis would lead to comparatively low daily …