Commodity value-at-risk modeling : comparing riskmetrics, historic simulation and quantile regression
Marie Steen, Sjur Westgaard and Ole Gjølberg
| Year of publication: |
2015
|
|---|---|
| Authors: | Steen, Marie ; Westgaard, Sjur ; Gjølberg, Ole |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 9.2015, 2, p. 49-78
|
| Subject: | quantile regression | value-at-risk | commodity prices | risk management | volatility | return distribution | Volatilität | Volatility | Risikomaß | Risk measure | Risikomanagement | Risk management | Regressionsanalyse | Regression analysis | Kapitaleinkommen | Capital income | Rohstoffpreis | Commodity price | Theorie | Theory | Simulation | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Welt | World | Rohstoffderivat | Commodity derivative | Statistische Verteilung | Statistical distribution |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011326305