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- W2259513507 abstract "Abstract In this paper new Value at Risk (VaR) model is proposed and investigated. We consider the multifractal property of financial time series and develop a multifractal Value at Risk (MFVaR). MFVaR introduced in this paper is analytically tractable and not based on simulation. Empirical study showed that MFVaR can provide the more stable and accurate forecasting performance in volatile financial markets where large loss can be incurred. This implies that our multifractal VaR works well for the risk measurement of extreme credit events." @default.
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- W2259513507 date "2016-06-01" @default.
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- W2259513507 title "Multifractal Value at Risk model" @default.
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- W2259513507 doi "https://doi.org/10.1016/j.physa.2015.12.161" @default.
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