Forecasting the VaR of the crude oil market : a combination of mixed data sampling and extreme value theory
Yongjian Lyu, Fanshu Qin, Rui Ke, Mo Yang, Jianing Chang
| Year of publication: |
2024
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|---|---|
| Authors: | Lyu, Yongjian ; Qin, Fanshu ; Ke, Rui ; Yang, Mo ; Chang, Jianing |
| Published in: |
Energy economics. - Amsterdam [u.a.] : Elsevier Science, ISSN 1873-6181, ZDB-ID 2000893-4. - Vol. 133.2024, Art.-No. 107500, p. 1-10
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| Subject: | Crude oil market | Extreme-value distribution | GARCH-MIDAS | Value at risk | Risikomaß | Risk measure | Ölmarkt | Oil market | Prognoseverfahren | Forecasting model | Ausreißer | Outliers | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model | Welt | World | Ölpreis | Oil price |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2024.107500 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015049483