Oil price risk evaluation using a novel hybrid model based on time-varying long memory
Lu-Tao Zhao, Kun Liu, Xin-Lei Duan, Ming-Fang Li
| Year of publication: |
2019
|
|---|---|
| Authors: | Zhao, Lu-Tao ; Liu, Kun ; Duan, Xin-Lei ; Li, Ming-Fang |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 81.2019, p. 70-78
|
| Subject: | Extreme value theory | GARCH | Long memory | Time-varying risk | Value at risk | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Ölpreis | Oil price | Risiko | Risk | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Ausreißer | Outliers | Risikomanagement | Risk management | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2019.03.019 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012172659