Analysis of shares frequency components on daily value-at-risk in emerging and developed markets

DOI10.1016/j.physa.2019.121798OpenAlexW2952806194MaRDI QIDQ2163912

Milton Biage

Publication date: 11 August 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2019.121798

zbMATH Keywords

waveletsstock marketvalue-at-riskstructural changevolatility modelsFIGARCH

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Related Items

A novel time-varying FIGARCH model for improving volatility predictions

Uses Software

• wmtsa

Cites Work

• Differentiating intraday seasonalities through wavelet multi-scaling
• Breaks and persistency: macroeconomic causes of stock market volatility
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• Memory and infrequent breaks
• Generalized autoregressive conditional heteroscedasticity
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• Statistics of financial markets. An introduction
• Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
• Statistical Properties and Uses of the Wavelet Variance Estimator for the Scale Analysis of Time Series