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...

Institutional investors have significantly increased exposure to commodity futures especially oil futures after 2004 in a process called commodity market financialization, raising questions about the risk-sharing and price-discovery functions of the market. We propose an ARMA-GARCH R-vine copula...