A Wavelet Based Multi Scale VaR Model for Agricultural Market

DOI10.1007/978-3-540-87477-5_46zbMath1160.90523OpenAlexW1574404471MaRDI QIDQ3627731

No author found.

Publication date: 13 May 2009

Published in: Communications in Computer and Information Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-87477-5_46

zbMATH Keywords

time series analysisrisk managementvalue at riskfinancialwavelets and fractals

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics in engineering and industry; control charts (62P30) Management decision making, including multiple objectives (90B50)

Uses Software

• wmtsa
• Dowd

Cites Work

• Unnamed Item
• Wavelet-based prediction of oil prices
• Wavelet methods in (financial) time-series processing

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