An improved historical simulation approach for estimating 'value at risk' of crude oil price

International Journal of Global Energy Issues

Volumn 25, Issue 1-2, 2006, Pages 83-93

  Fan, Ying ^a   Jiao, Jian Ling ^a  

^a Chinese Academy of Science   (China)

Author keywords

ARMA model; Historical simulation approach; Oil price movements; Risk management; Value at risk

Indexed keywords

COSTS; CRUDE PETROLEUM;

ARMA MODEL; HISTORICAL SIMULATION APPROACH; OIL PRICE MOVEMENTS; VALUE AT RISK;

RISK MANAGEMENT;

OIL INDUSTRY;

EID: 31344479511     PISSN: 09547118     EISSN: None     Source Type: Journal    
DOI: 10.1504/ijgei.2006.008385     Document Type: Article

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