Conditional VAR and Expected Shortfall: A New Functional Approach

Ferraty, Frédéric; Quintela-del-Rı́o, Alejandro

doi:10.1080/07474938.2013.807107

Cited by 20 publications

(9 citation statements)

References 42 publications

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“…As we all know, value-at-risk (VaR) is defined as the maximum loss in oil markets. A large body of studies pays attention to some alternative methods to forecast the risks [45][46][47][48][49]. Commonly, these methods often assume that the oil return is invariable.…”

Section: Control Variablesmentioning

confidence: 99%

The Oil Market Reactions to OPEC’s Announcements

2019

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Because of the crucial implications of the market power of OPEC, the aim of this paper was to investigate the oil asymmetric market reactions, such as the price and risk reactions, to OPEC’s announcements. Specifically, this paper first explored the oil price reactions to OPEC’s announcements and their heterogeneity to depict the directional role of OPEC based on event study methodology. Furthermore, this paper analyzed the oil risk reactions in the framework of a linear model. Our findings reveal several key results. The oil price reactions to OPEC production decisions behave quite heterogeneously in three kinds of decisions. Specifically, the reaction to announcements of a production increase shows an invert “U” shape, whereas there is a linear effect of cut announcements. Otherwise, when a maintain decision is announced, the oil prices have no obvious change over the sample period. Additionally, the oil risk reactions to OPEC’s announcements are heavily related to the interaction item between OPEC decisions and its production over full sample periods. Furthermore, OPEC’s role in promoting stability in crude oil markets by changing its production shows a heterogeneous condition after global financial crisis.

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Section: Control Variablesmentioning

confidence: 99%

The Oil Market Reactions to OPEC’s Announcements

2019

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“…The existing risk measurement methods are mainly based on different properties of the international crude oil market returns. On the one hand, the market risk is measured from the perspective of heteroscedasticity of asset returns, such as in literature which uses static and dynamic VaR based on GARCH models to predict risks in financial markets like stock markets, international crude oil markets and virtual money markets [20][21][22]. On the other hand, from the perspective of asset returns agglomeration to measure market risks.…”

Section: Risk Measurement Methods Of International Crude Oil Marketmentioning

confidence: 99%

“…Cabedo and Moya [19] assumed heteroscedasticity of crude oil returns and measured the risk of the crude oil market based on the GARCH model. Thereafter, most of the literature adopts static and dynamic VaR based on the GARCH model to predict financial market risks in stock markets, international crude oil markets and virtual currency markets [20][21][22][23]. For example, based on the heteroscedasticity of virtual currency returns, Li et al [24] measured virtual currency market risks with different types of GARCH models.…”

Section: Introductionmentioning

confidence: 99%

Asymmetry of Risk Evolution in Crude Oil Market: From the Perspective of Dual Attributes of Oil

Liu

Yao

et al. 2021

Energies

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Investor emotional heterogeneity and oil dual attributes are the key factors that cause the asymmetry of risks in the international crude oil market. This paper uses the monthly data from April 2003 to October 2020 to identify the dynamic characteristics of oil’s commodity attribute and financial attribute, and this paper also analyzes the asymmetric characteristics of risk evolution and risk degree in the international crude oil market under the condition of oil returns heterogeneity. The empirical results show that: first, there is heterogeneity in the influence of oil attributes on the risk evolution and risk degree of the international crude oil market; second, the alternation of oil dual attributes has a significant asymmetric impact on the risk evolution of international crude oil market; third, the sudden change of international crude oil market risk caused by oil attributes is asymmetric under different oil returns trends. Based on the empirical conclusion, this paper puts forward the corresponding policy recommendations.

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“…The VaR reflects the maximum amount of loss exposed in oil during a specific period. In the existing literature, there are many studies focus on the application and some alternative risk measures based on GARCH-type models [27][28][29][30][31]. However, these approaches often assume that the distribution of oil return is invariable across time.…”

Section: Data and Wavelet Approachmentioning

confidence: 99%

The Heterogeneous Interconnections between Supply or Demand Side and Oil Risks

Liao

et al. 2019

Energies

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Due to the crucial implication of oil risks for economic growth and policy making, the aim of this paper is to explore the heterogeneous interconnections of supply or demand in oil risks over time horizons and different countries. Specifically, we first examine the correlation of supply or demand in oil return risks and show the relationships in different countries based on wavelet coherence. Furthermore, we explore the time-varying interconnections between supply- or demand-side and oil return risks, as well as oil producers and demand countries. The empirical results show that the correlation between supply and oil return risks is relatively stable, whereas the linkage between demand and oil return risks shows greater volatility due to the impact of specific events. Further study indicates that there are heterogeneous interconnections between supply- or demand-side and oil return risks over sample periods. Specifically, the sign of response could be divided into four phases, i.e., 1997–2002, 2002–2010, 2010–2013 and 2014–2018. In addition, the interconnections of the demand side could be divided into three phases due to the sign of it. What is more, the dynamic interconnections of oil producers’ or countries’ demands behave quite heterogeneously in different countries. Thus policymakers should focus on the coordination level and space capacity in the global crude oil market.

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Conditional VAR and Expected Shortfall: A New Functional Approach

Cited by 20 publications

References 42 publications

The Oil Market Reactions to OPEC’s Announcements

The Oil Market Reactions to OPEC’s Announcements

Asymmetry of Risk Evolution in Crude Oil Market: From the Perspective of Dual Attributes of Oil

The Heterogeneous Interconnections between Supply or Demand Side and Oil Risks

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