Price risk analysis using GARCH family models : evidence from Shanghai crude oil futures market
Year of publication: |
2023
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Authors: | Bei, Shuhua ; Yang, Aijun ; Pei, Haotian ; Si, Xiaoli |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 125.2023, p. 1-11
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Subject: | GARCH family Models | MCS approach | Price risk management | Shanghai crude oil futures market | VaR prediction | ARCH-Modell | ARCH model | Rohstoffderivat | Commodity derivative | Ölpreis | Oil price | Shanghai | Schätzung | Estimation | Risikomaß | Risk measure | Hedging | Risikomanagement | Risk management |
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