Multifractal value at risk model

DOI10.1016/J.PHYSA.2015.12.161MaRDI QIDQ1619380zbMATH OpenOpenAlexFDO

Authors Jae Wook Song, Woojin Chang, Ho-Jin Lee

Publication date 13 November 2018

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2015.12.161

zbMATH Keywords

financial time seriesvalue at riskmultifractalitybinomial multifractal modelmultifractal model of asset return

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 1091847 (Why is no real title available?)
• scientific article; zbMATH DE number 819511 (Why is no real title available?)
• Continuous cascade models for asset returns
• Forecasting multifractal volatility
• Modelling financial time series using multifractal random walks
• Multi-scale correlations in different futures markets
• Multifractal detrended fluctuation analysis of nonstationary time series
• Multifractal regime detecting method for financial time series
• Multifractal returns and hierarchical portfolio theory
• Scaling behaviors in differently developed markets
• Volatility comovement: a multifrequency approach

Cited in

(15)

• Modeling and empirical research on portfolio risk measurement based on multi-fractal
• A Wavelet Based Multi Scale VaR Model for Agricultural Market
• Risk modelling approaches for Student-like models with fractal activity time
• Scaling in financial prices. IV: Multifractal concentration
• Extreme risk and fractal regularity in finance
• Volatility modeling for financial market: based on the views of multifractal
• Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process
• A risk measure of the stock market that is based on multifractality
• Fractal Activity Time Models for Risky Asset with Dependence and Generalized Hyperbolic Distributions
• Value at risk and self-similarity
• Forecasting multifractal volatility
• Asymmetric multi-fractality in the U.S. stock indices using index-based model of A-MFDFA
• Multifractal model of portfolio optimization and its empirical analysis
• Research for dynamic value at risk based on wavelet realized volatility
• Systematic VaR model based on multi-resolution analysis and extreme value theory

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