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Extreme value theory and value at risk: application to oil market

Year
2009
Secondary
https://storage.googleapis.com/public-quant/integrate/papers/Extreme%20value%20theory%20and%20value%20at%20risk_%20application%20to%20oil%20market.pdf
Download
https://mega.co.nz/#!3bw0RYIa!rQMrcai83f3ll3aYLApK34Mm7X89MllKY4dNmwZi7Jg
Abstract
This paper proposes the GARCH model combined with the Cornish–Fisher expansion for the oil VaR forecast.
Author
Velayoudoum Marimoutou and Bechir Raggad and Abdelwahed Trabelsi
View
https://sci-hub.st/10.1016/j.eneco.2009.02.005
Journal
https://www.sciencedirect.com/science/article/pii/S0140988309000322
Published
2022/05/12
Retrieved
5/12/2022, 12:08:30 PM
DOI
10.1016/j.eneco.2009.02.005
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