A risk measure of the stock market that is based on multifractality

DOI10.1016/J.PHYSA.2022.127203MaRDI QIDQ2128744zbMATH OpenOpenAlexFDO

Authors Yi Wang, Qi Sun, Zilu Zhang, Liqing Chen

Publication date 22 April 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2022.127203

zbMATH Keywords

CVaRmarket riskmultifractalrisk measure

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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Cites work

• A statistical mechanical approach to restricted integer partition functions
• Differential equations connecting VaR and CVaR
• scientific article; zbMATH DE number 108079 (Why is no real title available?)
• Mean-CVaR portfolio selection: a nonparametric estimation framework
• Multifractal analysis of Hang Seng index in Hong Kong stock market
• Multifractal detrended fluctuation analysis of nonstationary time series
• Multifractal methodology
• Multifractal nature of stock exchange prices
• Multifractal returns and hierarchical portfolio theory
• Multifractal value at risk model
• On the interplay between multiscaling and stock dependence
• Volatility modeling for financial market: based on the views of multifractal

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