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Oil tail-risk forecasts: from financial crisis to COVID-19
The coronavirus outbreak has caused unprecedented volatility in oil prices. This paper extends previous studies on oil Value-at-Risk (VaR) by providing extra insights into Expected Shortfall (ES) forecasting over the last decade, including several oil crises. We introduce a conditional volatility mo...
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Palgrave Macmillan UK
2022
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9418659/ http://dx.doi.org/10.1057/s41283-022-00100-2 |