CAViaR-based Forecast for Oil Price Risk
As a benchmark for measuring market risk, value-at-risk (VaR) reduces the risk associated with any kind of asset to just a number (amount in terms of a currency), which can be well understood by regulators, board members, and other interested parties. This paper employs a new VaR approach due to Engle and Manganelli [Engle, R.F., Manganelli, S., 2004. CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles. Journal of Business and Economic Statistics 22, 367–381] to forecasting oil price risk. In doing so, we provide two original contributions by introducing a new exponentially weighted moving average CAViaR model and developing a mixed data regression model for multi-period VaR prediction.
VaR; CAViaR; Oil price risk; Mixed data regression
Agribusiness | Finance and Financial Management
Dashan HUANG; YU, Baimin; FABOZZI, Frank; and FUKUSHIMA, Masao.
CAViaR-based Forecast for Oil Price Risk. (2009). Energy Economics. 31, (4), 511-518. Research Collection Lee Kong Chian School Of Business.
Available at: http://ink.library.smu.edu.sg/lkcsb_research/4780
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