Jimenez-Martin, Juan Angel Jimenez Martin; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 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...