This paper examines a comparative evaluation of the predictive performance of various Value-at-Risk (VaR) models in the energy market. This study extends the conventional research in literature, by proposing composite forecast models for applying to Brent and WTI crude oil prices. Forecasting...

This article undertakes eight hedging models (Regression, MD-GARCH, BEKK-GARCH, CCC-GARCH, ECM-MD, ECM-BEKK, ECM-CCC, and state space models) to investigate hedging effectiveness of different price scenarios in energy futures markets. Different models have systematically evidenced that hedging...

This article uses the SU-normal distribution to model the dynamic behavior of skewness in ten international aggregate stock indices—five indices each from developed and emerging markets. The conditional skewness process is specified as both autoregressive and dependent on lagged return shocks....