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Ensemble Forecasting of Value at Risk via Multi Resolution Analysis based Methodology in Metals Markets Journal article
EXPERT SYSTEMS WITH APPLICATIONS, 2012,Volume: 39,Issue: 4,Page: 4258-4267
Authors:  He, Kaijian;  Lai, Kin Keung;  Yen, Jerome
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Time Series Model  Nonlinear Ensemble Algorithm  Value At Risk  Neural Network  Wavelet Analysis  Multi Resolution Analysis  
Value-at-risk estimation of crude oil price using MCA based transient risk modeling approach Journal article
ENERGY ECONOMICS, 2011,Volume: 33,Issue: 5,Page: 903-911
Authors:  Kaijian He;  Kin Keung Lai;  Jerome Yen
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Crude Oil  Value At Risk  Morphological Component  Analysis  
Value-at-Risk Estimation of Crude Oil Price via Morphological Component Analysis Conference paper
Proceedings of the Third International Conference on Business Intelligence and Computational Finance, Hong Kong, Hong Kong, China, 13-15 Aug. 2010
Authors:  Kaijian He;  Kin Keung Lai;  Jerome Yen
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Value At Risk Model  Morphological  Component  Analysis  Arma-garch Model  
Morphological Component Analysis based Hybrid Approach for Prediction of Crude Oil Price Conference paper
Proceedings of the 2010 Third International Joint Conference on Computational Science and Optimization, Huangshan, China, 28-31 May 2010
Authors:  Kaijian He;  Kin Keung Lai;  Jerome Yen
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Time Series Model  Morphological Component Analysis  Crude Oil Price  Support Vector Regression  Randomwalk Model  
Crude Oil Price Prediction using slantlet Denosing Based Hybrid Models Conference paper
Proceedings of the International Conference on Computational Sciences and Optimization, Sanya, Hainan, China, 24-26 April 2009
Authors:  Kaijian He;  Kin Keung Lai;  Jerome Yen
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Modeling VaR in Crude Oil Market: A Multi Scale Nonlinear Ensemble Approach Incorporating Wavelet Analysis and ANN Journal article
COMPUTATIONAL SCIENCE - ICCS 2007, PT 1, PROCEEDINGS, 2007,Volume: 4487,Page: 554-561
Authors:  Kin Keung Lai;  Kaijian He;  Jerome Yen
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Artificial Neural Network  Nonlinear Ensemble Algorithm  Value At Risk  Wavelet Analysis