Estimating 'value at risk' of crude oil price and its spillover effect using the ged-garch approach
文献类型：期刊论文
| 作者 | Fan, Ying1; Zhang, Yue-Jun1,2; Tsai, Hsien-Tang3; Wei, Yi-Ming1 |
| 刊名 | Energy economics
 |
| 出版日期 | 2008-11-01 |
| 卷号 | 30期号:6页码:3156-3171 |
| 关键词 | International crude oil markets Ged-garch models Value-at-risk (var) Granger causality in risk Risk spillover effect |
| ISSN号 | 0140-9883 |
| DOI | 10.1016/j.eneco.2008.04.002 |
| 通讯作者 | Wei, yi-ming(ymwei@deas.harvard.edu) |
| 英文摘要 | Estimation has been carried out using garch-type models, based on the generalized error distribution (ged), for both the extreme downside and upside value-at-risks (var) of returns in the wti and brent crude oil spot markets. furthermore, according to a new concept of granger causality in risk, a kernel-based test is proposed to detect extreme risk spillover effect between the two oil markets. results of an empirical study indicate that the ged-garch-based var approach appears more effective than the well-recognized hsaf (i.e. historical simulation with arma forecasts). moreover, this approach is also more realistic and comprehensive than the standard normal distribution-based var model that is commonly used. results reveal that there is significant two-way risk spillover effect between wti and brent markets. supplementary study indicates that at the 99% confidence level, when negative market news arises that brings about a slump in oil price return, historical information on risk in the wti market helps to forecast the brent market. conversely, it is not the case when positive news occurs and returns rise. historical information on risk in the two markets can facilitate forecasts of future extreme market risks for each other. these results are valuable for anyone who needs evaluation and forecasts of the risk situation in international crude oil markets. (c) 2008 elsevier b.v. all rights reserved. |
| WOS关键词 | MANAGEMENT ; MARKETS ; MODELS |
| WOS研究方向 | Business & Economics |
| WOS类目 | Economics |
| 语种 | 英语 |
| WOS记录号 | WOS:000260272900027 |
| 出版者 | ELSEVIER SCIENCE BV |
| URI标识 | http://www.irgrid.ac.cn/handle/1471x/2387199 |
| 专题 | 中国科学院大学 |
| 通讯作者 | Wei, Yi-Ming |
| 作者单位 | 1.Chinese Acad Sci, Ctr Energy & Environm Policy Res, Inst Policy & Management, Beijing 100080, Peoples R China 2.Chinese Acad Sci, Grad Univ, Beijing 100080, Peoples R China 3.Natl Sun Yat Sen Univ, Coll Management, Kaohsiung 80424, Taiwan |
| 推荐引用方式 GB/T 7714 | Fan, Ying,Zhang, Yue-Jun,Tsai, Hsien-Tang,et al. Estimating 'value at risk' of crude oil price and its spillover effect using the ged-garch approach[J]. Energy economics,2008,30(6):3156-3171. |
| APA | Fan, Ying,Zhang, Yue-Jun,Tsai, Hsien-Tang,&Wei, Yi-Ming.(2008).Estimating 'value at risk' of crude oil price and its spillover effect using the ged-garch approach.Energy economics,30(6),3156-3171. |
| MLA | Fan, Ying,et al."Estimating 'value at risk' of crude oil price and its spillover effect using the ged-garch approach".Energy economics 30.6(2008):3156-3171. |
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来源：中国科学院大学
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