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Persistent link: https://www.econbiz.de/10011615344
In this study, we estimate the multi-period Value at Risk (VaR) of oil future prices under a generalized autoregressive conditional heteroscedasticity with a skewed-t residuals (GARCH-ST) model, which is developed to account for the stylized facts of oil futures returns, such as serial...
Persistent link: https://www.econbiz.de/10014239626
Persistent link: https://www.econbiz.de/10014466342