Modeling dynamic higher moments of crude oil futures
Zhuo Huang, Fang Liang, Tianyi Wang, Chao Li
| Year of publication: |
2021
|
|---|---|
| Authors: | Huang, Zhuo ; Liang, Fang ; Wang, Tianyi ; Li, Chao |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 39.2021, p. 1-5
|
| Subject: | GJR-GARCH | Gram-Charlier expansion | Time-varying higher moments | Value-at-risk | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution | Erdöl | Petroleum | Volatilität | Volatility | Rohstoffderivat | Commodity derivative | Momentenmethode | Method of moments | Theorie | Theory | Ölpreis | Oil price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2020.101570 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012805140