Estimating multi-period value at risk of oil futures prices
Year of publication: |
July 2016
|
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Authors: | Zhou, Chunyang ; Qin, Xiao ; Diao, Xundi ; He, Yingchen |
Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 48.2016, 31/33, p. 2994-3004
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Subject: | Value at Risk | multiple period | oil futures | prediction | higher moments | Risikomaß | Risk measure | Rohstoffderivat | Commodity derivative | Erdöl | Petroleum | Ölpreis | Oil price | Prognoseverfahren | Forecasting model | Theorie | Theory | ARCH-Modell | ARCH model | Schätzung | Estimation | Volatilität | Volatility |
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