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Estimation of Value-at-Risk for Exchange Risk Via Kernel Based Nonlinear Ensembled Multi Scale Model

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Advances in Neural Networks - ISNN 2008 (ISNN 2008)

Part of the book series: Lecture Notes in Computer Science ((LNTCS,volume 5263))

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Abstract

Risk level in the exchange rate market is dynamically evolving with complicated structures. To further refine the analysis process and achieve more accurate measurement, this paper proposes a novel kernel based nonlinear ensembled multi scale Value at Risk methodology for evaluating the risk level in the exchange rate market. In the proposed algorithm, wavelet analysis is introduced to analyze the multi scale heterogeneous risk structures across different time scales. The Principle Component Analysis is used to extract principle components from the redundant forecast matrixes. Then the support vector regression technique is integrated into the modeling process to nonlinearly ensemble forecast matrixes and produce more stable and accurate results. Taking Euro market as a typical test case, empirical studies employing the proposed algorithm shows the superior performance than benchmark ARMA-GARCH and realized volatility based approaches.

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Author information

Authors and Affiliations

  1. College of Business Administration, Hunan University, Changsha, Hunan, 410082, China

    Kaijian He, Chi Xie & Kinkeung Lai

  2. Department of Management Sciences, City University of Hong Kong, Tat Chee Avenue, Kowloon, Hong Kong,  

    Kaijian He & Kinkeung Lai

Authors
  1. Kaijian He
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  2. Chi Xie
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  3. Kinkeung Lai
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Editor information

Editors and Affiliations

  1. Department of Computer Science and Technology, Tsinghu University, 100084, Beijing, China

    Fuchun Sun

  2. Institute TAMS (Technical Aspects of Multimodal Systems), department of Informatics, University of Hamburg, Vogt-Koelln-Straße 30, 22527, Hamburg, Germany

    Jianwei Zhang

  3. Intel China Research Center, 8/F, Peking University, Department of Machine Intelligence, 100871, Beijing, China

    Ying Tan

  4. Department of Mathematics, Southeast University, 210096, Nanjing, China

    Jinde Cao

  5. Departamento de Control Automático, CINVESTAV-IPN, A.P. 14-740, Av.IPN 2508, 07360, México D.F., México

    Wen Yu

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© 2008 Springer-Verlag Berlin Heidelberg

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He, K., Xie, C., Lai, K. (2008). Estimation of Value-at-Risk for Exchange Risk Via Kernel Based Nonlinear Ensembled Multi Scale Model. In: Sun, F., Zhang, J., Tan, Y., Cao, J., Yu, W. (eds) Advances in Neural Networks - ISNN 2008. ISNN 2008. Lecture Notes in Computer Science, vol 5263. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-87732-5_17

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  • DOI: https://doi.org/10.1007/978-3-540-87732-5_17

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-87731-8

  • Online ISBN: 978-3-540-87732-5

  • eBook Packages: Computer ScienceComputer Science (R0)

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