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n Studies in Economics and Econometrics - Market risks in spot markets of crude oil and products : a long memory value-at-risk approach

Volume 34, Issue 2
  • ISSN : 0379-6205

Abstract

This study evaluates the market risks for three spot markets for crude oil and products. The market risk analysis considers both the bull and bear markets with long and short financial trading positions. For more reliable value-at-risk evaluations, a heavy-tailed long memory time varying volatility model is used under the robust quasi maximum likelihood estimation approach. It is found that only at a very low confidence level (≤ 99,75%), the heavy-tailed value-at-risk model provides an advantage in overcoming the risk of underestimating under the normality assumption.

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/content/bersee/34/2/EJC21501
2010-01-01
2019-10-23

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