Jimenez-Martin, Juan-Angel; McAleer, Michael; Pérez-Amaral, Teodosio; Santos, Paulo Araújo GFC-robust risk management under the Basel accord using extreme value methodologies. (English) Zbl 1499.91187 Math. Comput. Simul. 94, 223-237 (2013). MSC: 91G70 PDFBibTeX XMLCite \textit{J.-A. Jimenez-Martin} et al., Math. Comput. Simul. 94, 223--237 (2013; Zbl 1499.91187) Full Text: DOI Link
Casarin, Roberto; Chang, Chia-Lin; Jimenez-Martin, Juan-Angel; McAleer, Michael; Pérez-Amaral, Teodosio Risk management of risk under the Basel accord: a Bayesian approach to forecasting value-at-risk of VIX futures. (English) Zbl 1499.91184 Math. Comput. Simul. 94, 183-204 (2013). MSC: 91G70 PDFBibTeX XMLCite \textit{R. Casarin} et al., Math. Comput. Simul. 94, 183--204 (2013; Zbl 1499.91184) Full Text: DOI Link
McAleer, Michael; Jimenez-Martin, Juan-Angel; Pérez-Amaral, Teodosio A decision rule to minimize daily capital charges in forecasting value-at-risk. (English) Zbl 1204.91099 J. Forecast. 29, No. 7, 617-634 (2010). MSC: 91B82 PDFBibTeX XMLCite \textit{M. McAleer} et al., J. Forecast. 29, No. 7, 617--634 (2010; Zbl 1204.91099) Full Text: DOI Link