EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"Wavelet-based extreme value theory"
Narrow search

Narrow search

Year of publication
Subject
All
Emerging markets 1 Extreme value theory 1 Wavelet-based extreme value theory 1
Online availability
All
Undetermined 1
Type of publication
All
Article 1
Language
All
Undetermined 1
Author
All
Cifter, Atilla 1
Published in...
All
Physica A: Statistical Mechanics and its Applications 1
Source
All
RePEc 1
Showing 1 - 1 of 1
Cover Image
Value-at-risk estimation with wavelet-based extreme value theory: Evidence from emerging markets
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 …
Persistent link: https://www.econbiz.de/10010591136
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...