Multifractality and value-at-risk forecasting of exchange rates-Reference-Cited by-同舟云学术

Multifractality and value-at-risk forecasting of exchange rates

Published:2014-05 Issue: Volume:401 Page:71-81
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Batten Jonathan A.^ORCID,Kinateder Harald,Wagner Niklas

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference39 articles.

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3. Scaling, self-similarity and multifractality in FX markets;Xu;Physica A,2003

4. Exploring exchange rate returns at different time horizons;Nekhili;Physica A,2002

5. Multifractal model of asset returns with leverage effects;Eisler;Physica A,2004

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