Nonparametric adaptive value-at-risk quantification based on the multiscale energy distribution of asset returns
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EN
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Ce document a été publié dans
28th European Signal Processing Conference (EUSIPCO), Nonparametric adaptive value-at-risk quantification based on the multiscale energy distribution of asset returns, 2021-01-18, Amsterdam. 2021, vol. 2021-January, p. 2393-2397
Résumé en anglais
Quantifying risk is pivotal for every financial institution, with the temporal dimension being the key aspect for all the well-established risk measures. However, exploiting the frequency information conveyed by financial ...Lire la suite >
Mots clés en anglais
Commerce
Different frequency
Experimental evaluation
Financial institution
Frequency information
Multiple frequency
Multiscale energy
Quantification methods
Risk assessment
Signal processing
Temporal dimensions
Value engineering