Forecasting the VaR of crude oil market: do alternative distributions help?
Yongjian Lyu, Peng Wang, Yu Wei, Rui Ke
| Year of publication: |
August 2017
|
|---|---|
| Authors: | Lyu, Yongjian ; Wang, Peng ; Wei, Yu ; Ke, Rui |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 66.2017, p. 523-534
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| Subject: | Crude oil market | Value at risk | Generalized asymmetric Student-t distribution | Risikomaß | Risk measure | Ölmarkt | Oil market | Statistische Verteilung | Statistical distribution | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Welt | World | Ölpreis | Oil price | ARCH-Modell | ARCH model | Rohstoffderivat | Commodity derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2017.06.015 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011896562