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Risikomaß
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115
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114
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109
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ECONIS (ZBW)
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1
Estimation of value-at-risk for energy commodities via fat-tailed GARCH models
Hung, Jui-cheng
;
Lee, Ming-chih
;
Liu, Hung-Chun
- In:
Energy economics
30
(
2008
)
3
,
pp. 1173-1191
Persistent link: https://www.econbiz.de/10003744851
Saved in:
2
Estimating "value at risk" of crude oil price and its spillover effect using the GED-GARCH approach
Fan, Ying
;
Zhang, Yue-jun
;
Tsai, Hsien-tang
;
Wei, Yi-Ming
- In:
Energy economics
30
(
2008
)
6
,
pp. 3156-3171
Persistent link: https://www.econbiz.de/10003777034
Saved in:
3
Comparison of historically simulated VaR : evidence from oil prices
Costello, Alexandra
;
Asem, Ebenezer
;
Gardner, Eldon
- In:
Energy economics
30
(
2008
)
5
,
pp. 2154-2166
Persistent link: https://www.econbiz.de/10003773652
Saved in:
4
Multiple zone power forwards : a value at risk framework
Demers, Jean-Guy
- In:
Energy economics
31
(
2009
)
5
,
pp. 713-726
Persistent link: https://www.econbiz.de/10003880261
Saved in:
5
CAViaR-based forecast for oil price risk
Huang, Dashan
;
Yu, Baimin
;
Fabozzi, Frank J.
; …
- In:
Energy economics
31
(
2009
)
4
,
pp. 511-518
Persistent link: https://www.econbiz.de/10003867799
Saved in:
6
Extreme Value Theory and Value at Risk : application to oil market
Marimoutou, Velayoudoum
;
Raggad, Bechir
;
Trabelsi, …
- In:
Energy economics
31
(
2009
)
4
,
pp. 519-530
Persistent link: https://www.econbiz.de/10003867804
Saved in:
7
The performance of composite forecast models of value-at-risk in the energy market
Chiu, Yen-chen
;
Chuang, I-yuan
;
Lai, Jing-yi
- In:
Energy economics
32
(
2010
)
2
,
pp. 423-431
Persistent link: https://www.econbiz.de/10003954630
Saved in:
8
Forecasting petroleum futures markets volatility : the role of regimes and market conditions
Nomikos, Nikos K.
;
Pouliasis, Panos K.
- In:
Energy economics
33
(
2011
)
2
,
pp. 321-337
Persistent link: https://www.econbiz.de/10009261828
Saved in:
9
Value-at-risk estimation with the optimal dynamic biofuel portfolio
Chang, Ting-huan
;
Su, Hsin-mei
;
Chiu, Chien-liang
- In:
Energy economics
33
(
2011
)
2
,
pp. 264-272
Persistent link: https://www.econbiz.de/10009261932
Saved in:
10
Tail risk in energy portfolios
González-Pedraz, Carlos
;
Moreno, Manuel
;
Peña …
- In:
Energy economics
46
(
2014
),
pp. 422-434
Persistent link: https://www.econbiz.de/10011298962
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