Similar Search Results

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

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

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

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

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

Estimating and Evaluating Value-at-Risk forecasts based on Realized Variance : Empirical Evidence from ICE Brent Crude Oil Futures

Haugom, Erik - 2013

In this article we examine the properties of estimates of realized volatility at various intra-daily sampling frequencies for Brent Crude oil futures traded at the IntercontinentalExchange (ICE). The estimates of realized volatility are subsequently modeled and forecasted to predict day-ahead...

Persistent link: https://www.econbiz.de/10013090326