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Estimation of value-at-risk for energy commodities via fat-tailed GARCH models · Study

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ArticleEstimation of value-at-risk for energy commodities via fat-tailed GARCH models

Jui‐Cheng Hung2007

Article2007

Estimation of value-at-risk for energy commodities via fat-tailed GARCH models

Jui‐Cheng Hung · Ming‐Chih Lee · Hung‐Chun Liu

171 citations·0/0 files stored·Energy Economics

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Market Dynamics and Volatility

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1994Comparing Predictive Accuracy 1992ARCH modeling in finance 1998Evaluating Interval Forecasts 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 2000Value At Risk: The New Benchmark for Managing Financial Risk 1995Techniques for Verifying the Accuracy of Risk Measurement Models

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2009The effects of crude oil shocks on stock market shifts behaviour: A regime switching approach 2015Extreme risk spillovers between crude oil and stock markets 2010Forecasting petroleum futures markets volatility: The role of regimes and market conditions 2009Forecasting S&P-100 stock index volatility: The role of volatility asymmetry and distributional assumption in GARCH models 2012Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks

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Year2007

Typearticle

Published2007-12-05

VenueEnergy Economics

ISSN-L0140-9883

Languageen

Citations171

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.eneco.2007.11.004

openalex_workW1994401197

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