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Selection of Value at Risk Models for Energy Commodities · Study

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ArticleSelection of Value at Risk Models for Energy Commodities

Alessandro G. Laporta2018

Article2018

Selection of Value at Risk Models for Energy Commodities

Alessandro G. Laporta · Luca Merlo · Lea Petrella

75 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 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1983Oil and the Macroeconomy since World War II 1998Evaluating Interval Forecasts 1995Techniques for Verifying the Accuracy of Risk Measurement Models 2004CAViaR 2005Quantitative Risk Management: Concepts, Techniques, and Tools

Cited by

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Year2018

Typearticle

Published2018-07-29

VenueEnergy Economics

ISSN-L0140-9883

Languageen

Citations75

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.eneco.2018.07.009

openalex_workW2883003251

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