Estimating VaR and ES of the spot price of oil using futures-varying centiles
Giacomo Scandroglio, Andrea Gori, Emiliano Vaccaro and Vlasios Voudouris
| Year of publication: |
2013
|
|---|---|
| Authors: | Scandroglio, Giacomo ; Gori, Andrea ; Vaccaro, Emiliano ; Voudouris, Vlasios |
| Published in: |
International journal of financial engineering and risk management. - Olney : Inderscience, ISSN 2049-0909, ZDB-ID 2735250-X. - Vol. 1.2013, 1, p. 6-19
|
| Subject: | semi-parametric regression | conditional market risks | oil prices | West Texas Intermediate | Brent | Ölpreis | Oil price | Ölmarkt | Oil market | Schätzung | Estimation | Regressionsanalyse | Regression analysis | Nichtparametrisches Verfahren | Nonparametric statistics | VAR-Modell | VAR model |
| 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/10010198006