Estimating and forecasting portfolio’s Value-at-Risk with wavelet-based extreme value theory: Evidence from crude oil prices and US exchange rates
Crossref DOI link: https://doi.org/10.1057/s41274-016-0133-z
Published Online: 2017-12-21
Published Print: 2017-11
Update policy: https://doi.org/10.1080/tandf_crossmark_01
Jammazi, Rania
Nguyen, Duc Khuong
License valid from 2017-11-01
Peer Review Statement: The publishing and review policy for this title is described in its Aims & Scope.
Aim & Scope: http://www.tandfonline.com/action/journalInformation?show=aimsScope&journalCode=tjor20