Value-at-risk estimations of energy commodities via long-memory, asymmetry and fat-tailed GARCH models

Energy Policy

Volumn 38, Issue 5, 2010, Pages 2326-2339

  Aloui, Chaker ^a   Mabrouk, Samir ^a  

^a UNIVERSITY OF TUNIS EL MANAR   (Tunisia)

Author keywords

Energy prices; Long range memory; Value at risk

Indexed keywords

ENERGY COMMODITY; ENERGY MARKETS; ENERGY PRICES; EXPECTED SHORTFALL; FAT TAILS; FIGARCH; GARCH MODELS; LONG-MEMORY; LONG-RANGE MEMORY; RISK QUANTIFICATION; VALUE AT RISK;

COMMERCE; CRUDE OIL; RISK PERCEPTION;

VALUE ENGINEERING;

ASYMMETRY; CRUDE OIL; ECONOMETRICS; ENERGY MARKET; ESTIMATION METHOD; GAS SUPPLY; NUMERICAL MODEL; PERFORMANCE ASSESSMENT; RISK ASSESSMENT; TIME SERIES ANALYSIS;

EID: 77649342615     PISSN: 03014215     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.enpol.2009.12.020     Document Type: Article

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