Estimating VaR in crude oil market: A novel multi-scale non-linear ensemble approach incorporating wavelet analysis and neural network

Author:

He Kaijian,Xie Chi,Chen Shou,Lai Kin Keung

Publisher

Elsevier BV

Subject

Artificial Intelligence,Cognitive Neuroscience,Computer Science Applications

Reference40 articles.

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2. An analysis of factors affecting price volatility of the US oil market;Yang;Energy Economics,2002

3. Options, Futures and Other Derivatives;Hull,2006

4. Wavelets in economics and finance: past and future;Ramsey;Studies in Nonlinear Dynamics and Econometrics,2002

5. The contribution of wavelets to the analysis of economic and financial data;Ramsey;Philosophical Transactions of the Royal Society of London Series A—Mathematical Physical and Engineering Sciences,1999

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