Market risk in commodity markets: A VaR approach

Energy Economics

Volumn 25, Issue 5, 2003, Pages 435-457

  Giot, Pierre ^a,b   Laurent, Sébastien ^b,c  

^a UNIVERSITY OF NAMUR   (Belgium)

^b UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

^c Laboratoire de Finance Assurance   (France)

Author keywords

APARCH; ARCH; Commodity markets; Skewed Student distribution; Value at Risk

Indexed keywords

CONSUMER PRODUCTS; CONTRACTS; ESTIMATION; MATHEMATICAL MODELS; OPTIMIZATION; RISK ASSESSMENT; VALUE ENGINEERING;

NON-LINEAR OPTIMIZATION PROCEDURES;

MARKETING;

COMMODITY MARKET; ELECTRICITY GENERATION; ENERGY MARKET; METHODOLOGY; RISK FACTOR; VECTOR AUTOREGRESSION;

EID: 0141671731     PISSN: 01409883     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0140-9883(03)00052-5     Document Type: Article

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