physical trade, results in different pricing dynamics on physical and futures markets, and affects futures price volatility by … focusing on realized volatility relations between Black Sea spot and leading futures markets. Here, prices posted at the … intraday seasonally adjusted realized volatility on the CBoT futures market. Further, elevated volatility can be determined in …

orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …

simulations. We also present a three-step estimation procedure of the parameters of the SVAR-GARCH model that promises numerical …