Multifractality and value-at-risk forecasting of exchange rates
Year of publication: |
2014
|
---|---|
Authors: | Batten, Jonathan A. ; Kinateder, Harald ; Wagner, Niklas |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 401.2014, C, p. 71-81
|
Publisher: |
Elsevier |
Subject: | High frequency exchange rates | Multifractality | MMAR | Value-at-risk | Foreign exchange risk forecasting |
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