Blar i NTNU Open på forfatter "Nguyen, Trang"
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VaR Estimation for Crude Oil Data via Different Approaches: Historical Simulations, EVT Model, and ACER Method
Nguyen, Trang (Master thesis, 2018)This thesis implements different approaches to predict the one-day ahead Value at Risk (VaR) of crude oil return data. The Historical Simulation (HS) approach, a non-parametric model, randomly resamples past observations ...