Costello, Alexandra; Asem, Ebenezer; Gardner, Eldon - In: Energy Economics 30 (2008) 5, pp. 2154-2166
Cabedo and Moya [Cabedo, J.D., Moya, I., 2003. Estimating oil price 'Value at Risk' using the historical simulation approach. Energy Economics 25, 239-253] find that ARMA with historical simulation delivers VaR forecasts that are superior to those from GARCH. We compare the ARMA with historical...
