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"Estimating and forecasting portfolio's Value-at-Risk with wavelet-based ..."

Rania Jammazi, Duc Khuong Nguyen (2017)

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DOI: 10.1057/S41274-016-0133-Z

access: closed

type: Journal Article

metadata version: 2021-10-14

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Rania Jammazi, Duc Khuong Nguyen:
Estimating and forecasting portfolio's Value-at-Risk with wavelet-based extreme value theory: Evidence from crude oil prices and US exchange rates. J. Oper. Res. Soc. 68(11): 1352-1362 (2017)

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