Portfolio value at risk estimate for crude oil markets: A multivariatewavelet denoising approach

Energies

Volumn 5, Issue 4, 2012, Pages 1018-1043

  He, Kaijian ^a,b   Lai, Kin Keung ^b   Xiang, Guocheng ^a  

^a HUNAN UNIVERSITY OF SCIENCE AND TECHNOLOGY   (China)

^b CITY UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

DCC GARCH model; Exponential Weighted Moving Average (EWMA) model; Heterogeneous market hypothesis; Multivariate time series model; Multivariate wavelet analysis; Portfolio Value at Risk

Indexed keywords

BENCHMARKING; COMMERCE; CRUDE OIL; MULTIVARIANT ANALYSIS; RISK ASSESSMENT; RISK PERCEPTION; TIME SERIES; TIME SERIES ANALYSIS; VALUE ENGINEERING; WAVELET ANALYSIS;

DCC-GARCH MODELS; EXPONENTIAL WEIGHTED MOVING AVERAGE MODEL (EWMA); HETEROGENEOUS MARKET HYPOTHESIS; MULTIVARIATE TIME SERIES MODELS; MULTIVARIATE WAVELET ANALYSIS; PORTFOLIO VALUE AT RISKS;

PETROLEUM ANALYSIS;

EID: 84862246171     PISSN: None     EISSN: 19961073     Source Type: Journal    
DOI: 10.3390/en5041018     Document Type: Article

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