CAViaR-based forecast for oil price risk

Energy Economics

Volumn 31, Issue 4, 2009, Pages 511-518

  Huang, Dashan ^a   Yu, Baimin ^b   Fabozzi, Frank J ^c   Fukushima, Masao ^d  

^a WASHINGTON UNIVERSITY IN ST LOUIS   (United States)

^b CHINESE ACADEMY OF SCIENCES   (China)

^c YALE UNIVERSITY   (United States)

^d KYOTO UNIVERSITY   (Japan)

Author keywords

CAViaR; Mixed data regression; Oil price risk; VaR

Indexed keywords

BOARD MEMBERS; CAVIAR; CAVIAR MODELS; CONDITIONAL AUTOREGRESSIVE; ECONOMIC STATISTICS; EXPONENTIALLY WEIGHTED MOVING AVERAGE; MARKET RISKS; MIXED DATA; MIXED DATA REGRESSION; MULTI-PERIOD; OIL PRICE RISK; OIL PRICES; REGRESSION QUANTILE; VALUE AT RISK; VAR;

COSTS; REGRESSION ANALYSIS;

VALUE ENGINEERING;

BENCHMARKING; FORECASTING METHOD; MODEL; OIL INDUSTRY; PRICE DYNAMICS; REGRESSION ANALYSIS; RISK FACTOR;

EID: 64749105151     PISSN: 01409883     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eneco.2008.12.006     Document Type: Article

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