𝔖 Bobbio Scriptorium
✦   LIBER   ✦

The performance of composite forecast models of value-at-risk in the energy market

✍ Scribed by Yen-Chen Chiu; I-Yuan Chuang; Jing-Yi Lai


Book ID
108120969
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
216 KB
Volume
32
Category
Article
ISSN
0140-9883

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Market risk management of banks: implica
✍ Michael Chak Sham Wong; Wai Yan Cheng; Clement Yuk Pang Wong πŸ“‚ Article πŸ“… 2003 πŸ› John Wiley and Sons 🌐 English βš– 87 KB πŸ‘ 1 views

## Abstract This paper adopts the backtesting criteria of the Basle Committee to compare the performance of a number of simple Value‐at‐Risk (VaR) models. These criteria provide a new standard on forecasting accuracy. Currently central banks in major money centres, under the auspices of the Basle C

Application of the Beck model to stock m
✍ M. Kozaki; A.-H. Sato πŸ“‚ Article πŸ“… 2008 πŸ› Elsevier Science 🌐 English βš– 879 KB

We apply the Beck model, developed for turbulent systems that exhibit scaling properties, to stock markets. Our study reveals that the Beck model elucidates the properties of stock market returns and is applicable to practical use such as the Value-at-Risk estimation and the portfolio analysis. We p