The value-at-risk evaluation of Brent’s crude oil market

Chin, Wen Cheong and Isa, Zaidi and Khor, Chia Ying and Ng, Siew Lai (2014) The value-at-risk evaluation of Brent’s crude oil market. AIP Conference Proceedings, 1602. pp. 1118-1125. ISSN 1551-7616

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Official URL: http://scitation.aip.org/content/aip/proceeding/ai...

Abstract

This study investigates the market risk of the Brent’s crude oil market. First the long memory time-varying volatility is modelled under the Chung’s specification. Second, for model adequacy evaluations on the heavy-tailed, long memory and endogenously estimated power transformation models indicated superior performance in out-of-sample forecasts. Lastly, these findings are further applied in the long and short trading positions of market risk evaluations of the Brent’s market.

Item Type: Article
Subjects: T Technology > T Technology (General)
Divisions: Faculty of Computing and Informatics (FCI)
Faculty of Management (FOM)
Depositing User: Ms Nurul Iqtiani Ahmad
Date Deposited: 14 Aug 2014 09:11
Last Modified: 14 Aug 2014 09:11
URI: http://shdl.mmu.edu.my/id/eprint/5676

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