Tail risk of coal futures in China's market-Reference-Cited by-同舟云学术

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Tail risk of coal futures in China's market

Published:2022-12-10 Issue: Volume: Page:
ISSN:0810-5391
Container-title:Accounting & Finance
language:en
Short-container-title:Accounting & Finance

Author:

Shen Ze¹^ORCID,Wang Minglu²,Wan Qing³

Affiliation:

1. School of Finance Zhejiang Gongshang University Hangzhou China

2. School of Public Finance and Taxation Southwestern University of Finance and Economics Chengdu China

3. School of Computer and Information Engineering Zhejiang Gongshang University Hangzhou China

Publisher

Wiley

Subject

Economics, Econometrics and Finance (miscellaneous),Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/acfi.13032

Reference45 articles.

1. Value-at-risk estimations of energy commodities via long-memory, asymmetry and fat-tailed GARCH models

2. Basel Committee on Banking Supervision. (1996)Amendment to the capital accord to incorporate market risks. Bank for International Settlements.

3. Using extreme value theory to measure value-at-risk for daily electricity spot prices

4. Forecasting crude-oil market volatility: Further evidence with jumps

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