Chang, Chia-Lin; McAleer, Michael; perez-amaral, teodosio; … - Faculteit der Economische Wetenschappen, Erasmus … - 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 …