Oil price risk evaluation using a novel hybrid model based on time-varying long memory
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 | Zeitreihenanalyse | Time series analysis | Ölpreis | Oil price | Volatilität | Volatility | Risiko | Risk | Risikomanagement | Risk management | Ausreißer | Outliers | Theorie | Theory | Prognoseverfahren | Forecasting model |
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