GIOT, Pierre; LAURENT, Sébastien - Center for Operations Research and Econometrics (CORE), … - 2003
We put forward Value-at-Risk models relevant for commodity traders who have long and short trading positions in commodity markets. In a five-year out-of-sample study on aluminium, copper, nickel, Brent crude oil and WTI crude oil daily cash prices and cocoa nearby futures contracts, we assess...