Estimating and forecasting portfolio's Value-at-Risk with wavelet-based extreme value theory: Evidence from crude oil prices and US exchange rates.
Rania JammaziDuc Khuong NguyenPublished in: J. Oper. Res. Soc. (2017)
Keyphrases
- crude oil
- exchange rate
- long run
- extreme value theory
- risk aversion
- market data
- portfolio management
- foreign exchange
- portfolio optimization
- financial markets
- financial time series
- optimal policy
- decision making
- stock price
- investment decisions
- portfolio selection
- oil field
- currency exchange
- transaction costs
- investment strategies
- forecasting model
- expected utility
- reinforcement learning
- data mining
- risk averse
- neural network