Value-at-risk estimation with wavelet-based extreme value theory: Evidence from emerging markets-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Value-at-risk estimation with wavelet-based extreme value theory: Evidence from emerging markets

Published:2011-06 Issue:12 Volume:390 Page:2356-2367
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:

Cifter Atilla

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference43 articles.

1. Generalized autoregressive conditional heteroskedasticity;Bollerslev;Journal of Econometrics,1986

2. Glossary to ARCH (GARCH);Bollerslev,2010

3. High volatility, thick tails and extreme value theory in value-at-risk estimation;Gencay;Insurance: Mathematics and Economics,2003

4. The combination of forecasts;Bates;Operations Research Society,1969

5. Y. Liu, Value-at-risk model combination using artificial neural networks, Working Paper, Emory University, 2005.

Cited by 28 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Safety assessment of cryptocurrencies as risky assets during the COVID-19 pandemic;Physica A: Statistical Mechanics and its Applications;2024-10

2. Assessing Financial Stability in Turbulent Times: A Study of Generalized Autoregressive Conditional Heteroskedasticity-Type Value-at-Risk Model Performance in Thailand’s Transportation Sector during COVID-19;Risks;2024-03-13

3. Modeling of Machine Learning-Based Extreme Value Theory in Stock Investment Risk Prediction: A Systematic Literature Review;Big Data;2024-01-17

4. Modeling GPDA and Its Application in Deep Mineral Prediction in the Jiguanzui Cu-Au Mining Area in Hubei, China;Mathematical Problems in Engineering;2023-01-16

5. Forecasting Crude Oil Risk Using a Multivariate Multiscale Convolutional Neural Network Model;Mathematics;2022-07-11

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号京ICP备18003416号-3