Sample frequency robustness and accuracy in forecasting Value-at-Risk for Brent Crude Oil futures
Christian Ewald, Jelena Hadina, Erik Haugom, Gudbrand Lien, Ståle Størdal, Muhammad Yahya
| Year of publication: |
2023
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|---|---|
| Authors: | Ewald, Christian ; Hadina, Jelena ; Haugom, Erik ; Lien, Gudbrand ; Størdal, Ståle ; Yahya, Muhammad |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 58.2023, 1, p. 1-12
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| Subject: | HAR-QREG | HAR-RV | Realized volatility | Sample frequency | Value-at-Risk forecasting | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Volatilität | Volatility | ARCH-Modell | ARCH model | Stichprobenerhebung | Sampling | Rohstoffderivat | Commodity derivative | Ölpreis | Oil price | Zeitreihenanalyse | Time series analysis | Erdöl | Petroleum |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2023.103916 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014582226