Value-at-risk estimations of energy commodities via long-memory, asymmetry and fat-tailed GARCH models
By C. Aloui, Samir Mabrouk. 2010
195 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/56af024de7f3da9f35ad0b297e7fde060c003dbe
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Duc Khuong Nguyen
- Shawkat Hammoudeh
- Walid Chkili
- George Filis
- Perry Sadorsky
- Stavros Degiannakis *
- Walid Mensi
- Mohamed Arouri
In Finance
- Duc Khuong Nguyen
- Walid Chkili
- Shawkat Hammoudeh
- George Filis
- Perry Sadorsky
- Stavros Degiannakis *
- Walid Mensi
- A. B. Rejeb
Citations in the corpus
- Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory (2014, methodology): “19 also reach similar conclusions (e.g., Choi and Hammoudeh, 2009; Cheong, 2009; Aloui and Mabrouk, 2010; Mohammadi and Su, 2010; Wei et al., 2010).”