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Multifractality and value-at-risk forecasting of exchange rates · Study

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ArticleMultifractality and value-at-risk forecasting of exchange rates

Jonathan A. Batten2014

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Articlegreen2014

Multifractality and value-at-risk forecasting of exchange rates

Jonathan A. Batten · Harald Kinateder · Niklas Wagner

37 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

1986Generalized autoregressive conditional heteroskedasticity 1968Fractional Brownian Motions, Fractional Noises and Applications 2001Empirical properties of asset returns: stylized facts and statistical issues 1993A long memory property of stock market returns and a new model 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1998Evaluating Interval Forecasts 2002How Accurate Are Value‐at‐Risk Models at Commercial Banks?2004Extreme value theory and Value-at-Risk: Relative performance in emerging markets

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2017A tripartite inquiry into volatility-efficiency-integration nexus - case of emerging markets 2016On time-varying predictability of emerging stock market returns

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Year2014

Typearticle

Published2014-01-21

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations37

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.physa.2014.01.024

openalex_workW1998371697

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