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Value-at-risk estimation of crude oil price using MCA based transient risk modeling approach
16 references·0 citing·44 second hop
Value-at-risk estimation of crude oil price using MCA based transient risk modeling approach (2011)Value-at-risk estimation of crude oil pri…Volatility in crude oil futures: A comparison of the predictive ability of GARCH and implied volatility models (2008)Volatility in crude oil futur…Forecasting volatility of crude oil markets (2008)Forecasting volatility of cru…Forecasting crude oil price with an EMD-based neural network ensemble learning paradigm (2008)Forecasting crude oil price w…A new approach for crude oil price analysis based on Empirical Mode Decomposition (2007)A new approach for crude oil …Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis (2005)Using out-of-sample mean squa…Measuring Market Risk (2005)Measuring Market RiskMultiscale systematic risk (2004)Multiscale systematic riskExtreme value theory and Value-at-Risk: Relative performance in emerging markets (2004)Extreme value theory and Valu…A hybrid ARIMA and support vector machines model in stock price forecasting (2004)A hybrid ARIMA and support ve…Market risk in commodity markets: a VaR approach (2003)Market risk in commodity mark…An Introduction to Wavelets and Other Filtering Methods in Finance and Economics (2002)An Introduction to Wavelets a…An Introduction to High-Frequency Finance (2001)An Introduction to High-Frequ…A test for independence based on the correlation dimension (1996)A test for independence based…Time series prediction: Forecasting the future and understanding the past (1994)Time series prediction: Forec…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)ARCH modeling in finance (1992)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)The Pricing of Options and Corporate Liabilities (1973)Coherent Measures of Risk (1999)Evaluating Value-at-Risk Models via Quantile Regression (2010)A comprehensive review of Value at Risk methodologies (2013)Metrics for evaluating the performance of machine learning based automated valuation models (2021)The accuracy of extrapolation (time series) methods: Results of a forecasting competition (1982)A novel hybridization of artificial neural networks and ARIMA models for time series forecasting (2010)A review and comparison of strategies for multi-step ahead time series forecasting based on the NN5 forecasting competition (2012)Forecasting: theory and practice (2022)Time Series Analysis Forecasting and Control. 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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,836 cited
  • 1996A test for independence based on the correlation dimension3,526 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 2002An Introduction to Wavelets and Other Filtering Methods in Finance and Economics1,077 cited
  • 2004A hybrid ARIMA and support vector machines model in stock price forecasting1,019 cited
  • 2001An Introduction to High-Frequency Finance988 cited
  • 1994Time series prediction: Forecasting the future and understanding the past841 cited
  • 2008Forecasting crude oil price with an EMD-based neural network ensemble learning paradigm705 cited
  • 2005Measuring Market Risk489 cited
  • 2007A new approach for crude oil price analysis based on Empirical Mode Decomposition447 cited
  • 2004Extreme value theory and Value-at-Risk: Relative performance in emerging markets420 cited
  • 2005Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis410 cited
  • 2008Forecasting volatility of crude oil markets367 cited
  • 2004Multiscale systematic risk316 cited
  • 2008Volatility in crude oil futures: A comparison of the predictive ability of GARCH and implied volatility models

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304 cited
  • 2003Market risk in commodity markets: a VaR approach263 cited
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