Work

Measuring daily Value-at-Risk of SSEC index: A new approach based on multifractal analysis and extreme value theory

Year: 2013

Type: article

Source: Physica A Statistical Mechanics and its Applications

DOI: 10.1016/j.physa.2013.01.032

Authors: Yu Wei, Wang Chen, Yu Lin

Institutions: Southwest Jiaotong University, Chengdu University of Technology

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funders: National Natural Science Foundation of China, Fundamental Research Funds for the Central Universities

OpenAlex ID: W1983879282

FWCI: 5.831

Cites: 89

Cited by: 21

Related to: 10