Leverage effects and stochastic volatility in spot oil returns : a Bayesian approach with VaR and CVaR applications
Liyuan Chen, Paola Zerilli, Christopher F. Baum
| Year of publication: |
2019
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|---|---|
| Authors: | Chen, Liyuan ; Zerilli, Paola ; Baum, Christopher F. |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 79.2019, p. 111-129
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| Subject: | Asymmetric Laplace distribution | Bayesian Markov chain Monte Carlo | Conditional value-at-risk | Leverage effect | Stochastic volatility model | Value-at-risk | Volatilität | Volatility | Risikomaß | Risk measure | Bayes-Statistik | Bayesian inference | Markov-Kette | Markov chain | ARCH-Modell | ARCH model | Theorie | Theory | Monte-Carlo-Simulation | Monte Carlo simulation | Kapitaleinkommen | Capital income | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2018.03.032 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012172264