Modeling and forecasting extreme commodity prices : a Markov-Switching based extreme value model
Rodrigo Herrera, Alejandro Rodriguez, Gabriel Pino
| Year of publication: |
March 2017
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|---|---|
| Authors: | Herrera, Rodrigo ; Rodriguez, Alejandro ; Pino, Gabriel |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 63.2017, p. 129-143
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| Subject: | Commodity markets | Extreme value theory | Value at risk | Markov-Switching Multifractal | Self-exciting point process | Theorie | Theory | Risikomaß | Risk measure | Ausreißer | Outliers | Markov-Kette | Markov chain | Prognoseverfahren | Forecasting model | Rohstoffmarkt | Commodity market | Volatilität | Volatility | Rohstoffpreis | Commodity price | Börsenkurs | Share price | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2017.01.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011757876