Modeling and forecasting extreme commodity prices : a Markov-Switching based extreme value model
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
|
Subject: | Commodity markets | Extreme value theory | Value at risk | Markov-Switching Multifractal | Self-exciting point process | Risikomaß | Risk measure | Markov-Kette | Markov chain | Ausreißer | Outliers | Prognoseverfahren | Forecasting model | Theorie | Theory | Rohstoffmarkt | Commodity market | ARCH-Modell | ARCH model | Volatilität | Volatility | Rohstoffpreis | Commodity price |
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