Jimenez-Martin, Juan Angel Jimenez Martin; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2010
-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point … VaR forecasts of a set of conditional volatility models. This risk management strategy is GFC-robust in the sense that … 2008-09 global financial crisis. We investigate the performance of a variety of single and combined VaR forecasts in terms …