Estimating and forecasting portfolio's Value-at-Risk with wavelet-based extreme value theory : evidence from crude oil prices and US exchange rates
Rania Jammazi and Duc Khuong Nguyen
| Year of publication: |
November 2017
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| Authors: | Jammazi, Rania ; Nguyen, Duc Khuong |
| Published in: |
Journal of the Operational Research Society : OR. - Basingstoke, Hampshire : Palgrave, ISSN 0030-3623, ZDB-ID 716033-1. - Vol. 68.2017, 11, p. 1352-1362
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| Subject: | stochastic processes | wavelet analysi,s extreme value theory | VaR | oil-exchange rate portfolios | Risikomaß | Risk measure | Wechselkurs | Exchange rate | Portfolio-Management | Portfolio selection | Ausreißer | Outliers | VAR-Modell | VAR model | Theorie | Theory | Prognoseverfahren | Forecasting model | Ölpreis | Oil price | Schätzung | Estimation | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1057/s41274-016-0133-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011815894