Forecasts of Value-at-Risk and Expected Shortfall in the Crude Oil Market: A Wavelet-Based Semiparametric Approach

Forecasts of Value-at-Risk and Expected Shortfall in the Crude Oil Market: A Wavelet-Based Semiparametric Approach

We propose the use of wavelet-based semiparametric models for forecasting the value-at-risk (VaR) and expected shortfall (ES) in the crude oil market. We compared the forecast outcomes across different time scales for three semiparametric models, three nonparametric, distribution-based, generalized,...

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Bibliographic Details
Main Authors: Lu Yang, Shigeyuki Hamori
Format: Article
Language:English
Published: MDPI AG 2020-07-01
Series:Energies
Subjects:
crude oil market
value-at-risk
expected shortfall
wavelet transform
risk management
portfolio management
Online Access:https://www.mdpi.com/1996-1073/13/14/3700

Internet

https://www.mdpi.com/1996-1073/13/14/3700

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