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Commodity value-at-risk modeling: comparing RiskMetrics, historic simulation and quantile regression
(Journal article; Peer reviewed, 2015)Commodities constitute a nonhomogeneous asset class. Return distributions differ widely across different commodities, both in terms of tail fatness and skewness. These are features that we need to take into account when ... -
Value-at-risk in the European energy market: a comparison of parametric, historical simulation and quantile regression value-at-risk
(Journal article; Peer reviewed, 2019)This paper examines a set of value-at-risk (VaR) models and their ability to appropriately describe and capture price-change risk in the European energy market. We make in-sample, one-day-ahead VaR forecasts using one ...