Selection of value at risk models for energy commodities
Alessandro G. Laporta, Luca Merlo, Lea Petrella
| Year of publication: |
August 2018
|
|---|---|
| Authors: | Laporta, Alessandro G. ; Merlo, Luca ; Petrella, Lea |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 74.2018, p. 628-643
|
| Subject: | Value at risk | GARCH | GAS | Quantile models | Energy commodities | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Energiemarkt | Energy market | Risikomanagement | Risk management | Welt | World | Volatilität | Volatility | Energiewirtschaft | Energy sector |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2018.07.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011972948