Forecasting value-at-risk of crude oil futures using a hybrid ARIMA-SVR-POT model
Forecasting the value at risk (VaR) of crude oil futures can be a challenging task for investors due to the high volatility of these prices. It is crucial to describe the return in the tail distribution, as extreme values can trigger larger price fluctuations and market risks. In this study, we prop...
| Main Authors: | , |
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| 格式: | 文件 |
| 语言: | English |
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Elsevier
2024-01-01
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| 丛编: | Heliyon |
| 主题: | |
| 在线阅读: | http://www.sciencedirect.com/science/article/pii/S2405844023105664 |