Multifractal value at risk model

DOI10.1016/j.physa.2015.12.161zbMath1400.91667OpenAlexW2259513507MaRDI QIDQ1619380

Woojin Chang, Jae Wook Song, 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 seriesmultifractalityvalue at riskbinomial 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)

Related Items

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, Asymmetric multi-fractality in the U.S. stock indices using index-based model of A-MFDFA

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