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 |