CAViaR-based forecast for oil price risk
AbstractAs a benchmark for measuring market risk, value-at-risk (VaR) reduces the risk associated with any kind of asset to just a number (amount in terms of a currency), which can be well understood by regulators, board members, and other interested parties. This paper employs a new VaR approach due to Engle and Manganelli [Engle, R.F., Manganelli, S., 2004. CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles. Journal of Business and Economic Statistics 22, 367-381] to forecasting oil price risk. In doing so, we provide two original contributions by introducing a new exponentially weighted moving average CAViaR model and developing a mixed data regression model for multi-period VaR prediction.
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Bibliographic InfoArticle provided by Elsevier in its journal Energy Economics.
Volume (Year): 31 (2009)
Issue (Month): 4 (July)
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Web page: http://www.elsevier.com/locate/eneco
VaR CAViaR Oil price risk Mixed data regression;
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