This paper examines a comparative evaluation of the predictive performance of various Value-at-Risk (VaR) models in the energy market. This study extends the conventional research in literature, by proposing composite forecast models for applying to Brent and WTI crude oil prices. Forecasting...

The Value at Risk (VaR) model is widely applied to estimate firms' exposure to market risks. However, when one investigates the relationship between VaR measure and any other tested variables in a standard regression procedure, the analysis may be invalid if VaR estimates are not a stationary...