Value at risk and expected shortfall estimation for Mexico's isthmus crude oil using long-memory GARCH-EVT combined approaches
Raúl De Jesús Gutiérrez, Lidia E. Carvajal Gutiérrez, Oswaldo Garcia Salgado
| Year of publication: |
2023
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|---|---|
| Authors: | Jesús Gutiérrez, Raúl <de> ; Gutiérrez, Lidia E. Carvajal ; García Salgado, Oswaldo |
| Published in: |
International Journal of Energy Economics and Policy : IJEEP. - Mersin : EconJournals, ISSN 2146-4553, ZDB-ID 2632577-9. - Vol. 13.2023, 4, p. 467-480
|
| Subject: | Crude Oil | Conditional Extreme Value Theory | Value at Risk and Expected Shortfall | Mexico’s Isthmus Oil | Mexiko | Mexico | Risikomaß | Risk measure | Erdöl | Petroleum | ARCH-Modell | ARCH model | Schätzung | Estimation | Ölmarkt | Oil market | Erdölindustrie | Oil industry |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.32479/ijeep.14179 [DOI] hdl:11159/631195 [Handle] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014373513