Estimating Value-at-Risk for Energy Markets

Blanka Łęt

Chapter 9 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2012, vol. 10, pp 151-165 from University of Lodz

Abstract: Finally, Chapter 9 also serves a discussion on VaR estimates for energy markets. B. Łęt dealt with VaR for crude oil, natural gas and heating oil futures contracts for long and short trading positions. It was shown that the accuracy of VaR estimates with APARCH filter combined with the extreme value theory was high.

Keywords: Value-at-Risk; Energy markets; APARCH filter (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2012
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