Estimating oil price ‘Value at Risk’ using the historical simulation approach

By J. Cabedo, Ismael Moya. 2003

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Estimation of value-at-risk for energy commodities via fat-tailed GARCH models (2008, methodology): “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).”
The Use of GARCH Models in VaR Estimation (2004, methodology): “[14] D.J. Cabedo, I. Moya, Estimating oil price ’Value at Risk’ using the historical simulation approach, Energy Economics, 25 (2003) 239-253.”
Estimating ‘Value at Risk’ of crude oil price and its spillover effect using the GED-GARCH approach (2008, methodology): “Cabedo and Moya (2003) presented three kinds of VaR methods (i.e. the historical simulation standard approach, the historical simulation with ARMA forecasts (HSAF) approach and the variance–covariance method based on autoregressive conditional heteroskedasticity (ARCH) models forecasts) to…”