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A Wavelet-ARMA-GARCH Refinement Method to VaR Estimate for Foreign Exchange Market

by Samia Mederessi and Slaheddine Hallara

International Journal of Business and Risk Management. 2018, 1(1), 28-36. DOI: 10.12691/ijbrm-1-1-4
Pub. Date: April 23, 2018Views: 14431 Downloads: 13416Like: 1

Value-at-Risk foreign exchange rate ARMA-GARCH wavelet wavelet decomposed VAR Kupiec backtesting procedures

Abstract Full Text PDF (391 KB) Full Text HTML Full Text ePUB (194 KB)

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