Managing oil price risk : an objective comparison of VaR modeling techniques

dc.contributor.authorCostello, Alexandra
dc.contributor.authorUniversity of Lethbridge. Faculty of Management
dc.contributor.supervisorAsem, Ebenezer
dc.date.accessioned2008-02-27T21:29:26Z
dc.date.available2008-02-27T21:29:26Z
dc.date.issued2006
dc.descriptionvi, 57 leaves : ill. ; 29 cm.en
dc.description.abstractThis study empirically examines the performance of the Historical Simulation with ARMA forecast (C&M) methodology developed by Cabedo and Moya (2003b) vis-à-vis the performance of the Semi-Parametric GARCH methodology developed by Barone-Adesi, Giannopoulos, Kostas, and Vosper (1999). Cabedo and Moya (2003b) suggest that their model outperforms a GARCH model. However, they use an empirical distribution to forecast the future risk structure in the C&M model while they impose a normal distribution on the future risk structure in the GARCH model. This study finds that the GARCH model is not outperformed by the C&M model if the future risk structure is estimated by historical simulation as proposed by Barone-Adesi et al. (1999). Consequently, the study finds that Cabedo and Moya’s (2003b) conclusion is mainly driven by the differential in forecasting the future distribution of risk rather than a deficiency in the GARCH model.en
dc.identifier.urihttps://hdl.handle.net/10133/573
dc.language.isoen_USen
dc.publisherLethbridge, Alta. : University of Lethbridge, Faculty of Management, 2006en
dc.publisher.facultyManagementen
dc.relation.ispartofseriesProject (University of Lethbridge. Faculty of Management)en
dc.subjectPetroleum industry and trade -- Economic aspectsen
dc.subjectPetroleum products -- Pricesen
dc.subjectRisken
dc.titleManaging oil price risk : an objective comparison of VaR modeling techniquesen
dc.typeTechnical Reporten
Files
Original bundle
Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
costello, alexandra.pdf
Size:
817.31 KB
Format:
Adobe Portable Document Format
Description:
License bundle
Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
license.txt
Size:
1.88 KB
Format:
Item-specific license agreed upon to submission
Description: