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Market risk analysis of energy in vietnam
Ngoc Phu Tran; Thang Cong Nguyen; Duc Hong Vo; McAleer, … - In: Risks : open access journal 7 (2019) 4/112, pp. 1-13
The purpose of this paper is to evaluate and estimate market risk for the ten major industries in Vietnam. The focus of … the empirical analysis is on the energy sector, which has been designated as one of the four key industries, together with … Vietnam’s major industries. For the stock market in Vietnam, the website used in this paper provided complete and detailed …
Persistent link: https://www.econbiz.de/10012127865
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Computational dynamic market risk measures in discrete time setting
Seck, Babacar; Elliott, Robert J.; Gueyie, Jean-Pierre - In: International journal of financial engineering and risk … 1 (2014) 4, pp. 334-354
Persistent link: https://www.econbiz.de/10010476909
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Risk analysis of energy in Vietnam
Duc Hong Vo; Ngoc Phu Tran; Tam Nguyen-Thanh Duong; … - 2019
Persistent link: https://www.econbiz.de/10011986947
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Energy and agricultural development in the Red River Delta provinces, Vietnam
Duyen Dang Thi Thuy - In: International Journal of Energy Economics and Policy : IJEEP 13 (2023) 4, pp. 216-224
Persistent link: https://www.econbiz.de/10014373364
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Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions
Szubzda, Filip; Chlebus, Marcin - In: Central European economic journal 6 (2019) 53, pp. 70-85
The aim of the presented study was to assess the quality of VaR forecasts in various states of the economic situation. Two approaches based on the extreme value theory were compared: Block Maxima and the Peaks Over Threshold. Forecasts were made on the daily closing prices of 10 major indices in...
Persistent link: https://www.econbiz.de/10012302139
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Market risk, value-at-risk and exponential weighting
Broll, Udo; Förster, Andreas - In: Economics and business review 8/22 (2022) 2, pp. 80-91
Persistent link: https://www.econbiz.de/10013369763
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Market risk : exponential weighting in the value-at-risk calculation
Broll, Udo; Förster, Andreas - 2020
When measuring market risk, credit institutions and Alternative Investment Fund Managers may deviate from equally weighting historical data in their Value-at-Risk calculation and instead use an exponential time series weighting. The use of exponential weighting in the Value-at-Risk calculation...
Persistent link: https://www.econbiz.de/10012285469
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Renewable energy in sustainable electricity and economic development : the case of Nigeria
Ovwigho, Ekpobodo Raymond; Čepurko, Jurij Aleksandrovič; … - In: International Journal of Energy Economics and Policy : IJEEP 10 (2020) 1, pp. 165-169
Persistent link: https://www.econbiz.de/10012435522
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Green economy models and energy policies towards sustainable development in Malaysia : a review
Hussien, Mohammed Ebrahim; Alam, Rashidah Zainal; … - In: International journal of green economics 10 (2016) 1, pp. 89-106
Persistent link: https://www.econbiz.de/10011660614
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Risk measures and the impact of asset price bubbles
Jarrow, Robert A.; Silva, Felipe Bastos Gurgel - In: Journal of risk 17 (2014/15) 3, pp. 35-56
Persistent link: https://www.econbiz.de/10011298886