Measuring risk of crude oil at extreme quantiles
The purpose of this paper is to investigate the performance of VaR models at measuring risk for WTI oil one-month futures returns. Risk models, ranging from industry standards such as RiskMetrics and historical simulation to conditional extreme value model, are used to calculate commodity market ris...
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| Format: | Article |
| Language: | deu |
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Faculty of Economics University of Rijeka
2011-06-01
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| Series: | Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu |
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| Online Access: | http://webtest.efri.hr/sites/efri.hr/files/cr-collections/2/07-zikovic-2011-1.pdf |