CAViaR-based Forecast for Oil Price Risk

CAViaR-based Forecast for Oil Price Risk

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...

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書目詳細資料
Main Authors:	Dashan HUANG, YU, Baimin, FABOZZI, Frank, FUKUSHIMA, Masao
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2009
主題:	VaR; CAViaR; Oil price risk; Mixed data regression Agribusiness Finance and Financial Management
在線閱讀:	https://ink.library.smu.edu.sg/lkcsb_research/4780
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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