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dc.contributor.authorWestgaard, Sjur
dc.contributor.authorÅrhus, Gisle Hoel
dc.contributor.authorFrydenberg, Marina
dc.contributor.authorFrydenberg, Stein
dc.date.accessioned2020-04-16T12:15:23Z
dc.date.available2020-04-16T12:15:23Z
dc.date.created2019-12-02T15:02:27Z
dc.date.issued2019
dc.identifier.citationJournal of Risk Model Validation. 2019, 13 (4), 43-69.en_US
dc.identifier.issn1753-9579
dc.identifier.urihttps://hdl.handle.net/11250/2651322
dc.description.abstractThis 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 simple parametric model, one historical simulation model and one quantile regression (QR) model. We apply our models to nine different energy futures: Brent crude oil, API2 coal, UK natural gas, and three German and Nordic power futures in the period 2007–17. The models are tested at both long and short positions. Our research suggests that the QR model is easy to implement and offers accurate VaR forecasts in the European energy market. Copyright Infopro Digital Limited. All rights reserved. You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/ If you would like to purchase additional rights please email info@risk.neten_US
dc.language.isoengen_US
dc.publisherIncisive Mediaen_US
dc.titleValue-at-risk in the European energy market: a comparison of parametric, historical simulation and quantile regression value-at-risken_US
dc.typeJournal articleen_US
dc.typePeer revieweden_US
dc.description.versionpublishedVersionen_US
dc.source.pagenumber43-69en_US
dc.source.volume13en_US
dc.source.journalJournal of Risk Model Validationen_US
dc.source.issue4en_US
dc.identifier.doi10.21314/JRMV.2019.213
dc.identifier.cristin1755549
dc.description.localcodeLocked until 9.12.2020 due to copyright restrictions. Published by Incisive Media.en_US
cristin.ispublishedtrue
cristin.fulltextpreprint
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