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Please use this identifier to cite or link to this item: http://dspace.utalca.cl/handle/1950/9426

Title: Energy risk management through self-exciting marked point process
Authors: Herrera, R.
Keywords: Extreme value theory
Energy market risk
Energy forecasting
Value at Risk
Marked self-exciting point process
Issue Date: Jul-2013
Citation: ENERGY ECONOMICS Volume: 38 Pages: 64-76 DOI: 10.1016/j.eneco.2013.03.003
Abstract: Crude oil is a dynamically traded commodity that affects many economies. We propose a collection of marked self-exciting point processes with dependent arrival rates for extreme events in oil markets and related risk measures. The models treat the time among extreme events in oil markets as a stochastic process. The main advantage of this approach is its capability to capture the short, medium and long-term behavior of extremes without involving an arbitrary stochastic volatility model or a prefiltration of the data, as is common in extreme value theory applications. We make use of the proposed model in order to obtain an improved estimate for the Value at Risk in oil markets. Empirical findings suggest that the reliability and stability of Value at Risk estimates improve as a result of finer modeling approach. This is supported by an empirical application in the representative West Texas Intermediate (WTI) and Brent crude oil markets. (C) 2013 Elsevier B.V. All rights reserved.
Description: Herrera, R (reprint author) Univ Talca, Fac Ingn, Dept Modelac & Gest Ind, Camino Los Niches Km 1, Curico, Chile.
URI: http://dspace.utalca.cl/handle/1950/9426
ISSN: 0140-9883
Appears in Collections:Artículos en publicaciones ISI - Universidad de Talca

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