Ensemble forecasting of Value at Risk via Multi Resolution Analysis based methodology in metals markets
作者： Kaijian He , Kin Keung Lai , Jerome Yen
DOI: 10.1016/J.ESWA.2011.09.108
关键词: Risk management 、 Econometrics 、 Ensemble forecasting 、 Time series 、 Value at risk 、 Scale (chemistry) 、 Empirical research 、 Computer science 、 Artificial neural network 、 Market environment
摘要: … This paper proposes MRNEVaR methodology to improve risk measurement accuracy and … in the MRNEVaR methodology decomposes and recovers the heterogeneous structure of risk …
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