Value-at-risk estimations of energy commodities via long-memory, asymmetry and fat-tailed GARCH models
Year of publication: |
2010
|
---|---|
Authors: | Aloui, Chaker ; Mabrouk, Samir |
Published in: |
Energy policy. - Oxford : Elsevier, ISSN 0301-4215, ZDB-ID 186295-9. - Vol. 38.2010, 5, p. 2326-2339
|
Subject: | Ölpreis | Oil price | Gaspreis | Gas price | Volatilität | Volatility | Risikomaß | Risk measure | ARCH-Modell | ARCH model | 1986-2007 |
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