Forecasting crude oil price volatility and value-at-risk : evidence from historical and recent data
Thomas Lux, Mawuli Segnon, Rangan Gupta
| Year of publication: |
May 2016
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| Authors: | Lux, Thomas ; Segnon, Mawuli ; Gupta, Rangan |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 56.2016, p. 117-133
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| Subject: | Crude oil prices | GARCH | Multifractal processes | Superior predictive ability test | Encompassing test | VaR | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Ölpreis | Oil price | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Welt | World | Statistischer Test | Statistical test | VAR-Modell | VAR model | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2016.03.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011663878