Cifter, Atilla - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 12, pp. 2356-2367
This paper introduces wavelet-based extreme value theory (EVT) for univariate value-at-risk estimation. Wavelets and … distribution, and conditional generalized Pareto distribution models. The empirical results show that the wavelet-based extreme … value theory increases predictive performance of financial forecasting according to number of violations and tail-loss tests …