Revisiting value-at-risk and expected shortfall in oil markets under structural breaks : the role of fat-tailed distributions
Saswat Patra
| Year of publication: |
2021
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|---|---|
| Authors: | Patra, Saswat |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 101.2021, p. 1-11
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| Subject: | Crude oil market | Expected shortfall | Johnson Su distribution | Pearson type IV | Value-at-risk | Volatility | Volatilität | Ölmarkt | Oil market | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model | Strukturbruch | Structural break | Welt | World |