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Commodity value-at-risk modeling : comparing riskmetrics, historic simulation and quantile regression
Steen, Marie; Westgaard, Sjur; Gjølberg, Ole - In: The journal of risk model validation 9 (2015) 2, pp. 49-78
Persistent link: https://www.econbiz.de/10011326305
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Commodity financialization and sector ETFs : Evidence from crude oil futures
Liu, Pan; Vedenov, Dmitrij V.; Power, Gabriel J. - In: Research in international business and finance 51 (2020), pp. 1-9
Persistent link: https://www.econbiz.de/10012208332
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Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility : the case of Brent crude oil
Chen, Jilong; Ewald, Christian; Ouyang, Ruolan; … - In: Financial modeling and risk management of energy and …, (pp. 29-46). 2022
Persistent link: https://www.econbiz.de/10013349908
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Short- and long-run determinants of commodity price volatility
Karali, Berna; Power, Gabriel J. - In: American journal of agricultural economics 95 (2013) 3, pp. 724-738
Persistent link: https://www.econbiz.de/10009758629
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Estimating and evaluating value-at-risk forecasts based on realized variance : empirical evidence from ICE Brent Crude oil futures
Haugom, Erik; Veka, Steinar; Lien, Gudbrand; Westgaard, Sjur - In: OPEC energy review 38 (2014) 4, pp. 373-397
Persistent link: https://www.econbiz.de/10010495860
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Covariance estimation using high-frequency data: Sensitivities of estimation methods
Haugom, Erik; Lien, Gudbrand; Veka, Steinar; Westgaard, Sjur - In: Economic modelling 43 (2014), pp. 416-425
Persistent link: https://www.econbiz.de/10010503037
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Is hedging the crack spread no longer all it's cracked up to be?
Liu, Pan; Vedenov, Dmitrij V.; Power, Gabriel J. - In: Energy economics 63 (2017), pp. 31-40
Persistent link: https://www.econbiz.de/10011757817
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Co-integration of ICE Gas oil and Crude oil futures
Westgaard, Sjur; Estenstad, Maria; Seim, Maria; … - In: Energy economics 33 (2011) 2, pp. 311-320
Persistent link: https://www.econbiz.de/10009261833
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Market volatility and the dynamic hedging of multi-commodity price risk
Power, Gabriel J.; Vedenov, Dmitry V.; Anderson, David P.; … - In: Applied economics 45 (2013) 25/27, pp. 3891-3903
Persistent link: https://www.econbiz.de/10010345840
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International oil market risk anticipations and the cushing bottleneck : option-implied evidence
Gagnon, Marie-Hélène; Power, Gabriel J. - In: The energy journal 41 (2020) 6, pp. 255-280
Persistent link: https://www.econbiz.de/10012547136