Wavelet Based Approach for Exchange Rate Portfolio Value at Risk Estimation.
Kaijian HeYingchao ZouKin Keung LaiPublished in: BIFE (2013)
Keyphrases
- exchange rate
- risk aversion
- credit risk
- portfolio optimization
- portfolio management
- financial crisis
- stock price
- decision making
- foreign exchange
- currency exchange
- portfolio theory
- multiscale
- multiresolution
- wavelet transform
- financial time series
- wavelet coefficients
- portfolio selection
- long run
- utility function
- monetary policy
- denoising
- investment decisions
- investment strategies
- economic growth
- knowledge base