Commodity value-at-risk modeling : comparing riskmetrics, historic simulation and quantile regression
Year of publication: |
2015
|
---|---|
Authors: | Steen, Marie ; Westgaard, Sjur ; Gjølberg, Ole |
Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 9.2015, 2, p. 49-78
|
Subject: | quantile regression | value-at-risk | commodity prices | risk management | volatility | return distribution | Risikomaß | Risk measure | Volatilität | Volatility | Regressionsanalyse | Regression analysis | Kapitaleinkommen | Capital income | Risikomanagement | Risk management | Theorie | Theory | Rohstoffpreis | Commodity price | Statistische Verteilung | Statistical distribution | Rohstoffderivat | Commodity derivative | Simulation | Welt | World | ARCH-Modell | ARCH model |
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