Market risk in commodity markets: a VaR approach
By P. Giot, Sébastien-Yves Laurent. 2003
263 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/d6fa0d339843caac677abd54b4e99f913fe0365f
How researchers see this paper
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In Economics and Econometrics
- Yue‐Jun Zhang
- Stavros Degiannakis *
- George Filis
- Yi-Ming Wei
- Ying Fan
- Mingchih Lee
- Stefan Trück
- Hung‐Chun Liu
In Finance
- George Filis
- Yue‐Jun Zhang
- Stavros Degiannakis *
- Mingchih Lee
- Stefan Trück
- Hung‐Chun Liu
- Kevin Liang
- Chih-Chiang Wu
Citations in the corpus
- The economic value of co-movement between oil price and exchange rate using copula-based GARCH models (2011, background): “4 Examples include Giot and Laurent (2003), Patton (2006), and Fan et al. (2008). the US dollar depreciates as compared to when the US dollar appreciates, especially after 2002.”
- Estimating ‘Value at Risk’ of crude oil price and its spillover effect using the GED-GARCH approach (2008, methodology): “Giot and Laurent (2003) assessed the performance of the RiskMetrics, skewed Student APARCH and skewed Student ARCHmodels when used to calculate the market risk of several commodities, such as Brent and WTI crude oil.”
- The Use of GARCH Models in VaR Estimation (2004, methodology): “[41] P. Lambert, S. Laurent, Modelling financial time series using GARCH-type models and a skewed student density, Universite de Liege, (2001) Mimeo.”
- Estimation of value-at-risk for energy commodities via fat-tailed GARCH models (2008, background): “Unlike Cabedo and Moya (2003) and Giot and Laurent (2003a), this study also analyzes data on products refined from crude oil, including heating oil, propane and conventional gasoline regular.”
- Forecasting oil price realized volatility using information channels from other asset classes (2017, background): “Lastly, oil price volatility forecasting is also essential for oil risk management and the management of oil contingent claims as noted by Giot and Laurent (2003), Cabedo and Moya (2003) and Sévi (2014).”
- Modelling and forecasting volatility in the gold market (2012, methodology): “In or analysis, following Giot and Laurent (2001, 2003), we evaluate the VaR forecasts from the perspective of both long and short position traders.”