Estimating 'Value at Risk' of crude oil price and its spillover effect using the GED-GARCH approach

Energy Economics

Volumn 30, Issue 6, 2008, Pages 3156-3171

  Fan, Ying ^a   Zhang, Yue Jun ^a,b   Tsai, Hsien Tang ^c   Wei, Yi Ming ^a  

^a Chinese Academy of Sciences   (China)

^b UNIVERSITY OF CHINESE ACADEMY OF SCIENCES   (China)

^c NATIONAL SUN YAT SEN UNIVERSITY   (Taiwan)

Author keywords

GED GARCH models; Granger causality in risk; International crude oil markets; Risk spillover effect; Value at Risk (VaR)

Indexed keywords

ERROR ANALYSIS; ESTIMATION; FINANCIAL DATA PROCESSING; FORECASTING; MARKETING; NORMAL DISTRIBUTION; STANDARDS; VALUE ENGINEERING;

CONFIDENCE LEVEL; CRUDE OIL MARKETS; CRUDE OIL PRICES; CRUDE OILS; EMPIRICAL STUDIES; ERROR DISTRIBUTIONS; GED-GARCH MODELS; GRANGER CAUSALITY; GRANGER CAUSALITY IN RISK; HISTORICAL INFORMATION; INTERNATIONAL CRUDE OIL MARKETS; MARKET RISKS; NEW CONCEPT; OIL MARKETS; OIL PRICES; RISK SPILLOVER EFFECT; SPILLOVER EFFECTS; SPOT MARKETS; VALUE-AT-RISK; VALUE-AT-RISK (VAR); VAR MODELING;

RISK PERCEPTION;

CRUDE OIL; DEMAND ANALYSIS; ERROR ANALYSIS; ESTIMATION METHOD; GRANGER CAUSALITY TEST; OIL PRODUCTION; OIL SUPPLY; PRICE DYNAMICS; RISK ASSESSMENT; SPILLOVER EFFECT;

EID: 52049117637     PISSN: 01409883     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eneco.2008.04.002     Document Type: Article

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