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Crude oil risk forecasting : new evidence from multiscale analysis approach
He, Kaijian; Tso, Kwok Fai Geoffrey; Zou, Yingchao; Liu, Jia - In: Energy economics 76 (2018), pp. 574-583
Persistent link: https://www.econbiz.de/10011976731
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Value-at-risk estimation of crude oil price using MCA based transient risk modeling approach
He, Kaijian; Lai, Kin Keung; Yen, Jerome - In: Energy economics 33 (2011) 5, pp. 903-911
Persistent link: https://www.econbiz.de/10009382998
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Downside risk and the energy hedger's horizon
Conlon, Thomas; Cotter, John - In: Energy economics 36 (2013), pp. 371-379
Persistent link: https://www.econbiz.de/10009724683
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A utility based approach to energy hedging
Cotter, John; Hanly, Jim - In: Energy economics 34 (2012) 3, pp. 817-827
Persistent link: https://www.econbiz.de/10010219885
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A utility based approach to energy hedging
Cotter, John; Hanly, Jim - In: Energy Economics 34 (2012) 3, pp. 817-827
A key issue in the estimation of energy hedges is the hedgers' attitude towards risk which is encapsulated in the form of the hedgers' utility function. However, the literature typically uses only one form of utility function such as the quadratic when estimating hedges. This paper addresses...
Persistent link: https://www.econbiz.de/10010571697