Risk Modelling of Energy Futures: A comparison of RiskMetrics, Historical Simulation, Filtered Historical Simulation, and Quantile Regression.

Ronald Huisman, KE Dahlen, S Westgaard

Research output: Chapter/Conference proceedingChapterAcademic

Original languageEnglish
Title of host publicationStochastic Models, Statistics and Their Applications
EditorsA. Steland, E. Wafajlowicz, K. Szajowski
Place of PublicationWroclaw, Poland
PublisherSpringer-Verlag
Pages283-292
Number of pages10
ISBN (Print)9783319138800
Publication statusPublished - 2015

Publication series

SeriesSpringer Proceedings in Mathematics & Statistics
Volume122

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