Value-at-risk in the European energy market : a comparison of parametric, historical simulation and quantile regression value-at-risk
Sjur Westgaard, Gisle Hoel Arhus, Marina Frydenberg and Stein Frydenberg
| Year of publication: |
2019
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|---|---|
| Authors: | Westgaard, Sjur ; Arhus, Gisle Hoel ; Frydenberg, Marina ; Frydenberg, Stein |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 13.2019, 4, p. 43-69
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| Subject: | RiskMetrics | historical simulation (HS) | quantile regression (QR) | value-at-risk (VaR) | European energy future markets | risk analysis | Risikomaß | Risk measure | Simulation | EU-Staaten | EU countries | Energiemarkt | Energy market | Regressionsanalyse | Regression analysis | ARCH-Modell | ARCH model | Schätzung | Estimation | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JRMV.2019.213 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012373160