A Wavelet Based Multi Scale VaR Model for Agricultural Market

DOI10.1007/978-3-540-87477-5_46MaRDI QIDQ3627731zbMATH OpenOpenAlexFDO

Authors

Publication date 13 May 2009

Published in Communications in Computer and Information Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-87477-5_46

zbMATH Keywords

financialrisk managementtime series analysisvalue at riskwavelets and fractals

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics in engineering and industry; control charts (62P30) Management decision making, including multiple objectives (90B50)

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Cites work

• scientific article; zbMATH DE number 1470722 (Why is no real title available?)
• Wavelet methods in (financial) time-series processing
• Wavelet-based prediction of oil prices

Describes a project that uses

Uses Software

• Dowd
• wmtsa

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