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Risk model validation for BRICS countries : a value-at-risk, expected shortfall and extreme value theory approach
Wing, Jean Paul Chung; Gonpot, Preethee Nunkoo - In: The journal of risk model validation 9 (2015) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10011410313
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Selection of value at risk models for energy commodities
Laporta, Alessandro G.; Merlo, Luca; Petrella, Lea - In: Energy economics 74 (2018), pp. 628-643
Persistent link: https://www.econbiz.de/10011972948
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Credit and market risks measurement in carbon financing for Chinese banks
Zhang, Xi; Li, Jian - In: Energy economics 76 (2018), pp. 549-557
Persistent link: https://www.econbiz.de/10011976726
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Oil price risk evaluation using a novel hybrid model based on time-varying long memory
Zhao, Lu-Tao; Liu, Kun; Duan, Xin-Lei; Li, Ming-Fang - In: Energy economics 81 (2019), pp. 70-78
Persistent link: https://www.econbiz.de/10012172659
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Value-at-risk estimation with the Carr-Geman-Madan-Yor process : an empirical study on foreign exchange rates
Choi, Sun-Yong - In: The journal of risk model validation 10 (2016) 2, pp. 1-34
Persistent link: https://www.econbiz.de/10011527478
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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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Macro determinants of volatility and volatility spillover in energy markets
Karali, Berna; Ramírez, Octavio A. - In: Energy economics 46 (2014), pp. 413-421
Persistent link: https://www.econbiz.de/10011298963
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Jump processes in natural gas markets
Mason, Charles F.; Wilmot, Neil A. - In: Energy economics 46 (2014), pp. 69-79
Persistent link: https://www.econbiz.de/10011299350
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The (de)merits of minimum-variance hedging : application to the crack spread
Alexander, Carol; Prokopczuk, Marcel; Sumawong, Anannit - In: Energy economics 36 (2013), pp. 698-707
Persistent link: https://www.econbiz.de/10009724605
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OPEC news announcements : effects on oil price expectation and volatility
Schmidbauer, Harald; Rösch, Angi - In: Energy economics 34 (2012) 5, pp. 1656-1663
Persistent link: https://www.econbiz.de/10009687967