Naslov
Evaluating the performance of VaR models in energy markets

Autori
Žiković, Saša ; Weron, Rafał ; Tomas Žiković, Ivana

Vrsta, podvrsta i kategorija rada
Poglavlja u knjigama, znanstveni

Knjiga
Stochastic Models, Statistics and Their Applications

Urednik/ci
Steland, Ansgar ; Rafajłowicz, Ewaryst ; Szajowski, Krzysztof

Izdavač
Springer

Grad
Wrocław

Godina
2015

Raspon stranica
479-487

ISBN
978-3-319-13880-0

Ključne riječi
energy markets, fossil fuels, risk management, Value at Risk

Sažetak
We analyze the relative performance of 13 VaR models using daily returns of WTI, Brent, natural gas and heating oil one-month futures contracts. After obtaining VaR estimates we evaluate the statistical significance of the differences in performance of the analyzed VaR models. We employ the simulation-based methodology proposed by Žiković and Filer in Czech J Econ Finan 63(4):327–359, 2013, which allows us to rank competing VaR models. Somewhat surprisingly, the obtained results indicate that for a large number of different VaR models there is no statistical difference in their performance, as measured by the Lopez size adjusted score. However, filtered historical simulation (FHS) and the BRW model stand out as robust and consistent approaches that – in most cases – significantly outperform the remaining VaR models.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

Napomena
Indeksirano: Scopus

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