359
Views
3
CrossRef citations to date
0
Altmetric
Original Articles

Estimating multi-period Value at Risk of oil futures prices

, , &

References

  • Alexander, C., E. Lazar, and S. Stanescu. 2013. “Forecasting VaR using Analytic Higher Moments for GARCH Processes.” International Review of Financial Analysis 30: 36–45. doi:10.1016/j.irfa.2013.05.006.
  • Baillie, R. T., and T. Bollerslev. 1992. “Prediction in Dynamic Models with Time-Dependent Conditional Variances.” Journal of Econometrics 52: 91–113. doi:10.1016/0304-4076(92)90066-Z.
  • Berkowitz, J. 2001. “Testing Density Forecasts, with Applications to Risk Management.” Journal of Business & Economic Statistics 19: 465–474. doi:10.1198/07350010152596718.
  • Bollerslev, T. 1986. “Generalized Autoregressive Conditional Heteroskedasticity.” Journal of Econometrics 31: 307–327. doi:10.1016/0304-4076(86)90063-1.
  • Chang, T.-H., H.-M. Su, and C.-L. Chiu. 2011. “Value-At-Risk Estimation with the Optimal Dynamic Biofuel Portfolio.” Energy Economics 33: 264–272. doi:10.1016/j.eneco.2010.11.002.
  • Danelsson, J., and J.-P. Zigrand. 2006. “On Time-Scaling of Risk and the Square-Root-Of-Time Rule.” Journal of Banking & Finance 30: 27012713.
  • Engle, R. 1982. “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation.” Econometrica 50: 987–1007. doi:10.2307/1912773.
  • Engle, R. F. 2004. “Risk and Volatility: Econometric Models and Financial Practice.” American Economic Review 94: 405–420. doi:10.1257/0002828041464597.
  • Fan, Y., Y.-J. Zhang, H.-T. Tsai, and Y.-M. Wei. 2008. “Estimating Value at Risk of Crude Oil Price and Its Spillover Effect Using the GED-GARCH Approach.” Energy Economics 30: 3156–3171. doi:10.1016/j.eneco.2008.04.002.
  • Giot, P., and S. Laurent. 2003. “Market Risk in Commodity Markets: A VaR Approach.” Energy Economics 25: 435–457. doi:10.1016/S0140-9883(03)00052-5.
  • Hansen, B. E. 1994. “Autoregressive Conditional Density Estimation.” International Economic Review 35 (3): 705–730. doi:10.2307/2527081.
  • Jondeau, E., and M. Rockinger. 2003. “Conditional Volatility, Skewness, and Kurtosis: Existence, Persistence, and Comovements.” Journal of Economic Dynamics and Control 27: 1699–1737. doi:10.1016/S0165-1889(02)00079-9.
  • Kupiec, P. 1995. “Techniques for Verifying the Accuracy of Risk Measurement Models.” The Journal of Derivatives 3: 73–84. doi:10.3905/jod.1995.407942.
  • Laubsch, A. J., and A. Ulmer. 1999. Risk Management: A Practical Guide. New York: RiskMetrics Group.
  • Nelson, D. 1991. “Conditional Heteroskedasticity in Asset Returns: A New Approach.” Econometrica 59: 347–370. doi:10.2307/2938260.
  • Rosenblatt, M. 1952. “Remarks on a Multivariate Transformation.” The Annals of Mathematical Statistics 23: 470–472. doi:10.1214/aoms/1177729394.
  • Sadorsky, P. 2006. “Modeling and Forecasting Petroleum Futures Volatility.” Energy Economics 28: 467–488. doi:10.1016/j.eneco.2006.04.005.
  • Simonato, J. 2011. “The Performance of Johnson Distributions for Computing Value at Risk and Expected Shortfall.” The Journal of Derivatives 19: 7–24. doi:10.3905/jod.2011.19.1.007.
  • Wang, J.-N., J.-H. Yeh, and N. Y.-P. Cheng. 2011. “How Accurate Is the Square-Root-Of-Time Rule in Scaling Tail Risk: A Global Study.” Journal of Banking & Finance 35: 1158–1169. doi:10.1016/j.jbankfin.2010.09.028.
  • Wong, C.-M., and M. K. P. So. 2003. “On Conditional Moments of GARCH Models with Applications to Multiple Period Value at Risk Estimation.” Statistica Sinica 13: 1015–1044.
  • Zangari, P. 1996. “A VaR Methodology for Portfolios that Include Options.” RiskMetrics Monitor 1: 4–12.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.