Estimation of value-at-risk for energy commodities via fat-tailed GARCH models
Year of publication: |
2008
|
---|---|
Authors: | Hung, Jui-cheng ; Lee, Ming-chih ; Liu, Hung-Chun |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 30.2008, 3, p. 1173-1191
|
Subject: | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Energiemarkt | Energy market | Welt | World |
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