Treffer: Univariate and Multivariate Value-at-Risk: Application and Implication in Energy Markets
Title:
Univariate and Multivariate Value-at-Risk: Application and Implication in Energy Markets
Authors:
Source:
Communications in statistics. Simulation and computation. 40(6-7):957-977
Publisher Information:
Colchester: Taylor & Francis, 2011.
Publication Year:
2011
Physical Description:
print, 2 p
Original Material:
INIST-CNRS
Subject Terms:
Mathematics, Mathématiques, Sciences exactes et technologie, Exact sciences and technology, Sciences et techniques communes, Sciences and techniques of general use, Mathematiques, Mathematics, Analyse mathématique, Mathematical analysis, Equations aux dérivées partielles, Partial differential equations, Calcul des variations et contrôle optimal, Calculus of variations and optimal control, Analyse numérique. Calcul scientifique, Numerical analysis. Scientific computation, Analyse numérique, Numerical analysis, Méthodes numériques en programmation mathématique, optimisation et calcul variationnel, Numerical methods in mathematical programming, optimization and calculus of variations, Optimisation et calcul variationnel numériques, Numerical methods in optimization and calculus of variations, Probabilités et statistiques numériques, Numerical methods in probability and statistics, Algorithme, Algorithm, Algoritmo, Analyse multivariable, Multivariate analysis, Análisis multivariable, Analyse numérique, Numerical analysis, Análisis numérico, Calcul variationnel, Variational calculus, Cálculo de variaciones, Estimation non linéaire, Non linear estimation, Estimación no lineal, Estimation statistique, Statistical estimation, Estimación estadística, Méthode itérative, Iterative method, Método iterativo, Méthode optimisation, Optimization method, Método optimización, Méthode statistique, Statistical method, Método estadístico, Optimisation, Optimization, Optimización, Prix marché, Market price, Precio de mercado, Programmation mathématique, Mathematical programming, Programación matemática, Simulation numérique, Numerical simulation, Simulación numérica, 35L67, 49XX, 65K10, 65Kxx, 62-XX, 91 B84, Energy market, Multivariate ARCH, Value at risk
Document Type:
Fachzeitschrift
Article
File Description:
text
Language:
English
Author Affiliations:
Research Centre of Mathematical Sciences, Multimedia University, Selangor, Malaysia
ISSN:
0361-0918
Rights:
Copyright 2015 INIST-CNRS
CC BY 4.0
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
CC BY 4.0
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
Notes:
Mathematics
Accession Number:
edscal.24289938
Database:
PASCAL Archive
Weitere Informationen
This study investigated the cross-markets price changes, volatility, and shock transmission mechanism among gasoline, crude oil, and diesel spot markets. An asymmetric time-varying volatility model is used to reveal the hidden dynamic shock transmission mechanism among the markets. An iterative optimization Newton- Raphson algorithm is used in the nonlinear estimation procedures by updating the outer product of the gradient vector. The estimated results are used in quantifying the cross-market risk, optimal portfolio holding, and hedging among the energy markets.