Estimating "value at risk" of crude oil price and its spillover effect using the GED-GARCH approach
Ying Fan; Yue-Jun Zhang; Hsien-Tang Tsai; Yi-Ming Wei
| Year of publication: |
2008
|
|---|---|
| Authors: | Fan, Ying ; Zhang, Yue-Jun ; Tsai, Hsien-tang ; Wei, Yi-Ming |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 30.2008, 6, p. 3156-3171
|
| Subject: | Ölmarkt | Oil market | Risikomaß | Risk measure | Kausalanalyse | Causality analysis | ARCH-Modell | ARCH model | Risiko | Risk | Spillover-Effekt | Spillover effect | Welt | World |
| 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/10003777034