Cifter, Atilla - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 12, pp. 2356-2367
This paper introduces wavelet-based extreme value theory (EVT) for univariate value-at-risk estimation. Wavelets and EVT are combined for volatility forecasting to estimate a hybrid model. In the first stage, wavelets are used as a threshold in generalized Pareto distribution, and in the second...