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Forecasting crude oil price volatility and value-at-risk : evidence from historical and recent data
Lux, Thomas; Segnon, Mawuli; Gupta, Rangan - In: Energy economics 56 (2016), pp. 117-133
Persistent link: https://www.econbiz.de/10011663878
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Energy risk management through self-exciting marked point process
Herrera, Rodrigo - In: Energy economics 38 (2013), pp. 64-76
Persistent link: https://www.econbiz.de/10009763643
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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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Forecasting risk measures using intraday and overnight information
Santos, Douglas Gomes dos; Candido, Osvaldo; Tófoli, … - In: The North American journal of economics and finance : a … 60 (2022), pp. 1-25
Persistent link: https://www.econbiz.de/10013449240
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Forecasting the Value-at-Risk of REITs using realized volatility jump models
Odusami, Babatunde Olatunji - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10013186421
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Oil price volatility forecast with mixture memory GARCH
Klein, Tony; Walther, Thomas - In: Energy economics 58 (2016), pp. 46-58
Persistent link: https://www.econbiz.de/10011698485
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Oil tail risk and the tail risk of the US Dollar exchange rates
Salisu, Afees A.; Olaniran, Abeeb; Tchankam, Jean Paul - In: Energy economics 109 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013283764
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Tail risk and investors' concerns : evidence from Brazil
Freire, Gustavo - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10013187641
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Assessment of time-varying systemic risk in credit default swap indices : simultaneity and contagiousness
Choe, Geon Ho; Choi, So Eun; Jang, Hyun Jin - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-21
Persistent link: https://www.econbiz.de/10012666122
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The mechanics of VAR forecast pooling : a DSGE model based Monte Carlo study
Henzel, Steffen R.; Mayr, Johannes - In: The North American journal of economics and finance : a … 24 (2013), pp. 1-24
Persistent link: https://www.econbiz.de/10009739700