Market Risk for Nonferrous Metals: A Wavelet Based VaR Approach.
Kin Keung LaiKaijian HeChi XieShou ChenPublished in: ISDA (1) (2006)
Keyphrases
- risk measures
- black scholes
- risk neutral
- decision making
- var model
- financial crisis
- risk evaluation
- multiresolution
- risk averse
- risk aversion
- high risk
- risk management
- wavelet transform
- portfolio management
- market data
- option pricing
- stock price
- risk factors
- impulse response
- robust optimization
- wavelet domain
- image compression
- portfolio optimization
- stock returns
- multiscale
- feature extraction
- foreign exchange
- futures market
- neural network
- investment strategies
- market share
- trading strategies
- multiresolution analysis
- financial data
- early warning
- financial markets
- expected utility