EconPapers    
Economics at your fingertips  
 

Scaling laws: a viable alternative to value at risk?

Thomas Chopping

Quantitative Finance, 2014, vol. 14, issue 5, 889-911

Abstract: Recent research has found a number of scaling law relationships in foreign exchange data. These relationships, estimated using simple ordinary least squares, can be used to forecast losses in foreign exchange time series from as little as one month's tick data. We compare the loss forecasts from a new scaling law against six parametric Value at Risk models. Compared to these models, the new scaling law is easier to fit, provides more stable forecasts and is very accurate.

Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1080/14697688.2014.882070 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:quantf:v:14:y:2014:i:5:p:889-911

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RQUF20

Access Statistics for this article

Quantitative Finance is currently edited by Michael Dempster and Jim Gatheral

More articles in Quantitative Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2018-08-11
Handle: RePEc:taf:quantf:v:14:y:2014:i:5:p:889-911