Research for dynamic value at risk based on wavelet realized volatility

DOI10.11721/CQNUJ20170310MaRDI QIDQ4640393zbMATH OpenFDO

Authors Xili Wu, Xuanhua Peng

Publication date 25 May 2018

Full work available at URL https://doi.org/10.11721/CQNUJ20170310

zbMATH Keywords

realized volatilityVaRwavelet multi-resolution analysis

Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

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Cited in

(6)

• Improving daily value-at-risk forecasts: the relevance of short-run volatility for regulatory quality assessment
• The research on multi-resolution characteristics of investment portfolio value at risk based on a double factor pricing model
• The International CAPM and a Wavelet-Based Decomposition of Value at Risk
• A Wavelet Based Multi Scale VaR Model for Agricultural Market
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• EXPLORING MULTI-RESOLUTION AND MULTI-SCALING VOLATILITY FEATURES

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