Comparison of historically simulated VaR : evidence from oil prices
Year of publication: |
2008
|
---|---|
Authors: | Costello, Alexandra ; Asem, Ebenezer ; Gardner, Eldon |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 30.2008, 5, p. 2154-2166
|
Subject: | Risikomaß | Risk measure | Simulation | Nichtparametrisches Verfahren | Nonparametric statistics | ARCH-Modell | ARCH model | Ölpreis | Oil price | Welt | World | 1987-2005 |
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