Comparison of the accuracy in VaR forecasting for commodities using different methods of combining forecasts - Lis, Szymon,Chlebus, Marcin (University of Warsaw, Faculty of Economic Sciences, 2021)
https://ideas.repec.org/p/war/wpaper/2021-11.html
Keywords: Graue Literatur; Combining forecasts; Econometric models; Finance; Financial markets; GARCH models; Neural networks; Regression; Time series; Risk; Value-at-Risk; Machine learning; Model Confidence Set