Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures

Roberto Casarin, Chia-Lin Chang, Juan-Angel Jimenez-Martin, Michael McAleer, Teodosio Pérez-Amaral. Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures. Mathematics and Computers in Simulation, 94:183-204, 2013. [doi]

Abstract

Abstract is missing.