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Selection of Value at Risk Models for Energy Commodities
16 references·7 citing·35 second hop
Selection of Value at Risk Models for Energy Commodities (2018)Selection of Value at Risk Models for Ene…GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)GENERALIZED AUTOREGRESSIVE SC…Tests of Conditional Predictive Ability (2006)Tests of Conditional Predicti…Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Quantitative Risk Management:…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…CAViaR (2004)CAViaRDo oil price shocks matter? Evidence for some European countries (2003)Do oil price shocks matter? E…Value at Risk (2001)Value at RiskOil price shocks and stock market activity (1999)Oil price shocks and stock ma…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsEnergy Risk: Valuing and Managing Energy Derivatives (1997)Energy Risk: Valuing and Mana…Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Oil and the Macroeconomy since World War II (1983)Oil and the Macroeconomy sinc…GAS and GARCH based value-at-risk modeling of precious metals (2021)GAS and GARCH based value-at-…Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation (2021)Forecasting VaR and ES using …Systemic risk spillovers between crude oil and stock index returns of G7 economies: Conditional value-at-risk and marginal expected shortfall approaches (2020)Systemic risk spillovers betw…Risk Connectedness Heterogeneity in the Cryptocurrency Markets (2020)Risk Connectedness Heterogene…Forecasting Value-at-Risk of Cryptocurrencies with RiskMetrics type models (2020)Forecasting Value-at-Risk of …Does COVID-19 open a Pandora's box of changing the connectedness in energy commodities? (2020)Does COVID-19 open a Pandora'…Managing volumetric risk of long-term power purchase agreements (2019)Managing volumetric risk of l…An Introduction to Copulas (1999)Coherent Measures of Risk (1999)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Pair-copula constructions of multiple dependence (2007)Quantitative Risk Management (2011)Selecting and estimating regular vine copulae and application to financial returns (2012)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Comparing Predictive Accuracy (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)CoVaR (2016)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Macroeconomics and Reality (1980)Comparing alternative tests of causality in temporal systems (1983)This is what happened to the oil price-macroeconomy relationship (1996)What is an Oil Shock? (2000)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Oil price shocks and stock markets in the U.S. and 13 European countries (2008)THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)Oil prices, US stock return, and the dependence between their quantiles (2015)Why Does Stock Market Volatility Change Over Time? (1989)Measuring and Testing the Impact of News on Volatility (1993)GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (2001)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Basel Committee On Banking Supervision (2010)A review of copula models for economic time series (2012)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Financial Network Systemic Risk Contributions (2014)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1983Oil and the Macroeconomy since World War II3,823 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 2004CAViaR2,210 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools1,932 cited
  • 1999Oil price shocks and stock market activity1,798 cited
  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,783 cited
  • 2006Tests of Conditional Predictive Ability1,667 cited
  • 2012GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS988 cited
  • 2001Value at Risk846 cited
  • 2003Do oil price shocks matter? Evidence for some European countries466 cited
  • 1997Energy Risk: Valuing and Managing Energy Derivatives

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427 cited

Cited by

  • 2020Does COVID-19 open a Pandora's box of changing the connectedness in energy commodities?132 cited
  • 2020Systemic risk spillovers between crude oil and stock index returns of G7 economies: Conditional value-at-risk and marginal expected shortfall approaches80 cited
  • 2020Forecasting Value-at-Risk of Cryptocurrencies with RiskMetrics type models56 cited
  • 2020Risk Connectedness Heterogeneity in the Cryptocurrency Markets48 cited
  • 2021Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation36 cited
  • 2021GAS and GARCH based value-at-risk modeling of precious metals36 cited
  • 2019Managing volumetric risk of long-term power purchase agreements32 cited