Value-at-Risk estimation of energy commodities : a long-memory GARCH-EVT approach
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
|
Subject: | Extreme value theory | Long-range-memory | Value-at-Risk | Expected shortfall oil price and energy commodities volatility | Risikomaß | Risk measure | Volatilität | Volatility | ARCH-Modell | ARCH model | Ölpreis | Oil price | Energiemarkt | Energy market | Ausreißer | Outliers | Rohstoffpreis | Commodity price | Welt | World |
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