Zikovic, Sasa - In: Zbornik radova Ekonomskog fakulteta u … 29 (2011) 1, pp. 9-31
The purpose of this paper is to investigate the performance of VaR models at measuring risk for WTI oil one-month futures returns. Risk models, ranging from industry standards such as RiskMetrics and historical simulation to conditional extreme value model, are used to calculate commodity market...