Value at Risk and Expected Shortfall Estimation for Mexico’s Isthmus Crude Oil Using Long-Memory GARCH-EVT Combined Approaches
This paper estimates a variety of CGARCH and FIGARCH models with normal distribution to capture salient features of Mexico’s Isthmus crude oil return series such as fat tails and volatility clustering as well as asymmetry and long memory; this to obtain independent and identically distributed stand...
| প্রধান লেখক: | , , |
|---|---|
| বিন্যাস: | প্রবন্ধ |
| ভাষা: | English |
| প্রকাশিত: |
EconJournals
2023-07-01
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| মালা: | International Journal of Energy Economics and Policy |
| বিষয়গুলি: | |
| অনলাইন ব্যবহার করুন: | http://econjournals.com/index.php/ijeep/article/view/14179 |