Title

CAViaR-based Forecast for Oil Price Risk

Publication Type

Journal Article

Publication Date

7-2009

Abstract

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.

Keywords

VaR; CAViaR; Oil price risk; Mixed data regression

Discipline

Agribusiness | Finance and Financial Management

Research Areas

Finance

Publication

Energy Economics

Volume

31

Issue

4

First Page

511

Last Page

518

ISSN

0140-9883

Identifier

10.1016/j.eneco.2008.12.006

Publisher

Elsevier

Additional URL

http://dx.doi.org/10.1016/j.eneco.2008.12.006

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