CAViaR-based forecast for oil price risk

doi:10.1016/j.eneco.2008.12.006

CSpace

	CAViaR-based forecast for oil price risk
	Huang, Dashan 2; Yu, Baimin 3; Fabozzi, Frank J.1; Fukushima, Masao 4
	2009-07-01
发表期刊	ENERGY ECONOMICS
ISSN	0140-9883
卷号	31 期号:4 页码:511-518
摘要	As 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. (C) 2008 Elsevier B.V. All rights reserved.
关键词	VaR CAViaR Oil price risk Mixed data regression
DOI	10.1016/j.eneco.2008.12.006
语种	英语
WOS研究方向	Business & Economics
WOS类目	Economics
WOS记录号	WOS:000267236000001
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/7300
专题	中国科学院数学与系统科学研究院
通讯作者	Fabozzi, Frank J.
作者单位	1.Yale Univ, Sch Management, New Haven, CT 06520 USA 2.Washington Univ, John M Olin Sch Business, St Louis, MO 63130 USA 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 4.Kyoto Univ, Grad Sch Informat, Dept Appl Math & Phys, Kyoto 6068501, Japan
推荐引用方式 GB/T 7714	Huang, Dashan,Yu, Baimin,Fabozzi, Frank J.,et al. CAViaR-based forecast for oil price risk[J]. ENERGY ECONOMICS,2009,31(4):511-518.
APA	Huang, Dashan,Yu, Baimin,Fabozzi, Frank J.,&Fukushima, Masao.(2009).CAViaR-based forecast for oil price risk.ENERGY ECONOMICS,31(4),511-518.
MLA	Huang, Dashan,et al."CAViaR-based forecast for oil price risk".ENERGY ECONOMICS 31.4(2009):511-518.