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~isPartOf:"Energy economics"
~language:"eng"
~person:"Lyu, Yongjian"
~subject:"Prognoseverfahren"
~subject:"Value at risk"
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Prognoseverfahren
Value at risk
Crude oil market
2
Forecasting model
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Oil market
2
Risikomaß
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Risk measure
2
Statistical distribution
2
Statistische Verteilung
2
Ölmarkt
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ARCH model
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ARCH-Modell
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Ausreißer
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Commodity derivative
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Extreme-value distribution
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GARCH-MIDAS
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Generalized asymmetric Student-t distribution
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Oil price
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Outliers
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Rohstoffderivat
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Volatility
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Lyu, Yongjian
Herrera, Rodrigo
2
Ke, Rui
2
Awudu, Iddrisu
1
Bianconi, Marcelo
1
Bouri, Elie
1
Chang, Jianing
1
Dahl, Bruce L.
1
Duan, Kun
1
Duan, Xin-Lei
1
Gabriel, Vasco J.
1
Gupta, Rangan
1
He, Kaijian
1
Huang, Yingying
1
Jiao, Lei
1
Klein, Tony
1
Laporta, Alessandro G.
1
Li, Ming-Fang
1
Liao, Yin
1
Liu, Jia
1
Liu, Kun
1
Lux, Thomas
1
Martins, Luís Filipe
1
Merlo, Luca
1
Olaniran, Abeeb
1
Petrella, Lea
1
Phella, Anthoulla
1
Pino, Gabriel
1
Qin, Fanshu
1
Rodriguez, Alejandro
1
Salisu, Afees A.
1
Segnon, Mawuli
1
Tchankam, Jean Paul
1
Tso, Kwok Fai Geoffrey
1
Walther, Thomas
1
Wang, Cheng
1
Wang, Peng
1
Wei, Yu
1
Wilson, William W.
1
Xu, Yahua
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ECONIS (ZBW)
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Forecasting the VaR of the crude oil market : a combination of mixed data sampling and extreme value theory
Lyu, Yongjian
;
Qin, Fanshu
;
Ke, Rui
;
Yang, Mo
;
Chang, …
- In:
Energy economics
133
(
2024
),
pp. 1-10
Persistent link: https://www.econbiz.de/10015049483
Saved in:
2
Forecasting the VaR of crude oil market: do alternative distributions help?
Lyu, Yongjian
;
Wang, Peng
;
Wei, Yu
;
Ke, Rui
- In:
Energy economics
66
(
2017
),
pp. 523-534
Persistent link: https://www.econbiz.de/10011896562
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