Portfolio Value at Risk Estimate for Crude Oil Markets: A Multivariate Wavelet Denoising Approach

Portfolio Value at Risk Estimate for Crude Oil Markets: A Multivariate Wavelet Denoising Approach

In the increasingly globalized economy these days, the major crude oil markets worldwide are seeing higher level of integration, which results in higher level of dependency and transmission of risks among different markets. Thus the risk of the typical multi-asset crude oil portfolio is influenced b...

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Bibliographic Details
Main Authors: Kin Keung Lai, Guocheng Xiang, Kaijian He
Format: Article
Language:English
Published: MDPI AG 2012-04-01
Series:Energies
Subjects:
Portfolio Value at Risk
multivariate wavelet analysis
Exponential Weighted Moving Average (EWMA) model
DCC-GARCH model
multivariate time series model
heterogeneous market hypothesis
Online Access:http://www.mdpi.com/1996-1073/5/4/1018

Internet

http://www.mdpi.com/1996-1073/5/4/1018

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