The following pages link to Multifractal value at risk model (Q1619380):
Displaying 8 items.
- Asymmetric multi-fractality in the U.S. stock indices using index-based model of A-MFDFA (Q1693939) (← links)
- Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process (Q2127364) (← links)
- A risk measure of the stock market that is based on multifractality (Q2128744) (← links)
- Multifractal model of portfolio optimization and its empirical analysis (Q2824502) (← links)
- Fractal Activity Time Models for Risky Asset with Dependence and Generalized Hyperbolic Distributions (Q2893289) (← links)
- Extreme Risk and Fractal Regularity in Finance (Q2949961) (← links)
- Modeling and empirical research on portfolio risk measurement based on multi-fractal (Q3306961) (← links)
- Research for dynamic value at risk based on wavelet realized volatility (Q4640393) (← links)
