Value-at-Risk estimation of energy commodities : a long-memory GARCH-EVT approach
Manel Youssef, Lotfi Belkacem, Khaled Mokni
| Year of publication: |
September 2015
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| Authors: | Youssef, Manel ; Belkacem, Lotfi ; Mokni, Khaled |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 51.2015, p. 99-110
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| Subject: | Extreme value theory | Long-range-memory | Value-at-Risk | Expected shortfall oil price and energy commodities volatility | Risikomaß | Risk measure | Volatilität | Volatility | Ölpreis | Oil price | ARCH-Modell | ARCH model | Aktienindex | Stock index | Risikomanagement | Risk management | Rohstoffderivat | Commodity derivative | Warenbörse | Commodity exchange | Ausreißer | Outliers |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2015.06.010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011564809