Less disagreement, better forecasts: adjusted risk measures in the energy futures market

Ning Zhang, Yujing Gong and Xiaohan Xue

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: This paper develops a generic adjustment framework to improve in the market risk forecasts of diverse risk forecasting models, which indicates the degree to which risk is under- and overestimated. In the context of the energy commodity market, a market in which tail risk management is of crucial importance, the empirical analysis shows that after this adjustment framework is applied, the forecasting performance of various risk models generally improves, as verified by a battery of backtesting methods. Additionally, our method also lessens the risk model disagreement among post-adjusted risk forecasts.

Keywords: energy futures; expected shortfall; finance; model disagreement; value at risk (search for similar items in EconPapers)
JEL-codes: C52 C53 G10 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2023-10-01
New Economics Papers: this item is included in nep-ene and nep-rmg
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Published in Journal of Futures Markets, 1, October, 2023, 43(10), pp. 1332 - 1372. ISSN: 0270-7314

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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:118451

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