CAViaR-based Forecast for Oil Price Risk

• المؤلفون الرئيسيون: Dashan HUANG, YU, Baimin, FABOZZI, Frank, FUKUSHIMA, Masao
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2009
• الموضوعات: VaR; CAViaR; Oil price risk; Mixed data regression; Agribusiness; Finance and Financial Management
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/4780
• المؤسسة: Singapore Management University

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 Eng...