On the statistics of scaling exponents and the multiscaling value at risk
Year of publication: |
2022
|
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Authors: | Brandi, Giuseppe ; Di Matteo, Tiziana |
Published in: |
The European journal of finance. - London [u.a.] : Taylor & Francis Group, ISSN 1466-4364, ZDB-ID 2001610-4. - Vol. 28.2022, 13/15, p. 1361-1382
|
Subject: | long-memory | Multiscaling time series | robust scaling | value at risk | Theorie | Theory | Risikomaß | Risk measure | Zeitreihenanalyse | Time series analysis | Statistische Methode | Statistical method |
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