Value at risk and expected shortfall estimation for Mexico's isthmus crude oil using long-memory GARCH-EVT combined approaches
Raúl De Jesús Gutiérrez, Lidia E. Carvajal Gutiérrez, Oswaldo Garcia Salgado
Year of publication: |
2023
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Authors: | Gutiérrez, Raúl de Jesús ; Gutiérrez, Lidia E. Carvajal ; García Salgado, Oswaldo |
Published in: |
International Journal of Energy Economics and Policy : IJEEP. - Mersin : EconJournals, ISSN 2146-4553, ZDB-ID 2632577-9. - Vol. 13.2023, 4, p. 467-480
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Subject: | Crude Oil | Conditional Extreme Value Theory | Value at Risk and Expected Shortfall | Mexico’s Isthmus Oil | Risikomaß | Risk measure | Mexiko | Mexico | Erdöl | Petroleum | Ölpreis | Oil price | Risikomanagement | Risk management | Erdölindustrie | Oil industry |
Saved in:
freely available
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.32479/ijeep.14179 [DOI] hdl:11159/631195 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014373513