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The impact of extreme events on energy price risk
Wen, Jun; Zhao, Xinxin; Chang, Chun Ping - In: Energy economics 99 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10012939412
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Extreme co-movements between infectious disease events and crude oil futures prices : from extreme value analysis perspective
Lin, Hang; Zhang, Zhengjun - In: Energy economics 110 (2022), pp. 1-14
Persistent link: https://www.econbiz.de/10013349928
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Extreme Value Theory and Value at Risk : application to oil market
Marimoutou, Velayoudoum; Raggad, Bechir; Trabelsi, … - In: Energy economics 31 (2009) 4, pp. 519-530
Persistent link: https://www.econbiz.de/10003867804
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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
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Oil price risk evaluation using a novel hybrid model based on time-varying long memory
Zhao, Lu-Tao; Liu, Kun; Duan, Xin-Lei; Li, Ming-Fang - In: Energy economics 81 (2019), pp. 70-78
Persistent link: https://www.econbiz.de/10012172659
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Modeling and forecasting extreme commodity prices : a Markov-Switching based extreme value model
Herrera, Rodrigo; Rodriguez, Alejandro; Pino, Gabriel - In: Energy economics 63 (2017), pp. 129-143
Persistent link: https://www.econbiz.de/10011757876
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Value-at-Risk estimation of energy commodities : a long-memory GARCH-EVT approach
Youssef, Manel; Belkacem, Lotfi; Mokni, Khaled - In: Energy economics 51 (2015), pp. 99-110
Persistent link: https://www.econbiz.de/10011564809
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Energy risk management through self-exciting marked point process
Herrera, Rodrigo - In: Energy economics 38 (2013), pp. 64-76
Persistent link: https://www.econbiz.de/10009763643