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Value-at-risk estimation with the optimal dynamic biofuel portfolio · Study

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ArticleValue-at-risk estimation with the optimal dynamic biofuel portfolio

Ting-Huan Chang2010

Article2010

Value-at-risk estimation with the optimal dynamic biofuel portfolio

Ting-Huan Chang · Hsin-Mei Su · Chien‐Liang Chiu

24 citations·0/0 files stored·Energy Economics

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Financial Risk and Volatility Modeling Market Dynamics and Volatility Risk Management in Financial Firms

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1976Option pricing when underlying stock returns are discontinuous 1998Evaluating Interval Forecasts 1995Techniques for Verifying the Accuracy of Risk Measurement Models 1996Value at risk: the new benchmark for controlling market risk 1991The Crash of ʼ87: Was It Expected? The Evidence from Options Markets 2010Merton, Robert C.

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Year2010

Typearticle

Published2010-11-20

VenueEnergy Economics

ISSN-L0140-9883

Languageen

Citations24

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.eneco.2010.11.002

openalex_workW2035008307

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