Univariate and Multivariate Value-at-Risk: Application and Implication in Energy Markets

被引：3
作者：
Cheong, Chin Wen [1 ]
机构：
[1] Multimedia Univ, Math Sci Res Ctr, Cyberjaya 63100, Selangor, Malaysia
来源：
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION | 2011年 / 40卷 / 07期
关键词：
Energy market; Multivariate ARCH; Value at risk; CONDITIONAL CORRELATION; OIL; VOLATILITY; COINTEGRATION; PRICES; MODEL; TRANSMISSION; INFERENCE; DEMAND; RATES;
D O I：
10.1080/03610918.2011.560731
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This study investigated the cross-markets price changes, volatility, and shock transmission mechanism among gasoline, crude oil, and diesel spot markets. An asymmetric time-varying volatility model is used to reveal the hidden dynamic shock transmission mechanism among the markets. An iterative optimization Newton-Raphson algorithm is used in the nonlinear estimation procedures by updating the outer product of the gradient vector. The estimated results are used in quantifying the cross-market risk, optimal portfolio holding, and hedging among the energy markets.
引用
收藏
页码：957 / 977
页数：21
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