Risk measurement of oil price based on Bayesian nonlinear quantile regression model

Author:

Zhu Jian,Long Haiming,Deng Jingjing,Wu Wenzhi

Publisher

Elsevier BV

Subject

General Engineering

Reference17 articles.

1. Estimating oil price ‘Value at Risk’using the historical simulation approach;Cabedo;Energy Econ.,2003

2. Quantile regression;Koenker;Journal of Economic Perspectives,2001

3. CAViaR: Conditional autoregressive value at risk by regression quantiles;Engle;J. Business & Economic Statistics,2004

4. CAViaR-based forecast for oil price risk;Huang;Energy Econ.,2009

5. Estimation of value-at-risk for energy commodities via CAViaR model;Zhao;International Conference on Multiple Criteria Decision Making,2009

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