Blar i Brage NMBU på tidsskrift "Journal of Risk Model Validation"
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Commodity value-at-risk modeling: comparing RiskMetrics, historic simulation and quantile regression
(Journal article; Peer reviewed, 2015)Commodities constitute a nonhomogeneous asset class. Return distributions differ widely across different commodities, both in terms of tail fatness and skewness. These are features that we need to take into account when ...