| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10481284 | Physica A: Statistical Mechanics and its Applications | 2013 | 12 Pages |
Abstract
⺠We propose a new method of Value-at-Risk measurement by integrating a multifractal volatility model and EVT technique. ⺠We use a multifractal tool to analyze high-frequency intraday price data of SSEC index in China. ⺠Our new VaR model outperforms several widely used GARCH-type models.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Yu Wei, Wang Chen, Yu Lin,