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

Ronald Huisman; KE Dahlen; S Westgaard

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

Ronald Huisman, KE Dahlen, S Westgaard

Business Economics

Research output: Chapter/Conference proceeding › Chapter › Academic

Original language	English
Title of host publication	Stochastic Models, Statistics and Their Applications
Editors	A. Steland, E. Wafajlowicz, K. Szajowski
Place of Publication	Wroclaw, Poland
Publisher	Springer-Verlag
Pages	283-292
Number of pages	10
ISBN (Print)	9783319138800
Publication status	Published - 2015

Publication series

Series	Springer Proceedings in Mathematics & Statistics
Volume	122

Cite this

Huisman, R., Dahlen, KE., & Westgaard, S. (2015). Risk Modelling of Energy Futures: A comparison of RiskMetrics, Historical Simulation, Filtered Historical Simulation, and Quantile Regression. In A. Steland, E. Wafajlowicz, & K. Szajowski (Eds.), Stochastic Models, Statistics and Their Applications (pp. 283-292). Springer-Verlag. Springer Proceedings in Mathematics & Statistics Vol. 122

Huisman, Ronald ; Dahlen, KE ; Westgaard, S. / Risk Modelling of Energy Futures: A comparison of RiskMetrics, Historical Simulation, Filtered Historical Simulation, and Quantile Regression. Stochastic Models, Statistics and Their Applications. editor / A. Steland ; E. Wafajlowicz ; K. Szajowski. Wroclaw, Poland : Springer-Verlag, 2015. pp. 283-292 (Springer Proceedings in Mathematics & Statistics, Vol. 122).

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Huisman, R, Dahlen, KE & Westgaard, S 2015, Risk Modelling of Energy Futures: A comparison of RiskMetrics, Historical Simulation, Filtered Historical Simulation, and Quantile Regression. in A Steland, E Wafajlowicz & K Szajowski (eds), Stochastic Models, Statistics and Their Applications. Springer-Verlag, Wroclaw, Poland, Springer Proceedings in Mathematics & Statistics, vol. 122, pp. 283-292.

Risk Modelling of Energy Futures: A comparison of RiskMetrics, Historical Simulation, Filtered Historical Simulation, and Quantile Regression. / Huisman, Ronald; Dahlen, KE; Westgaard, S.

Stochastic Models, Statistics and Their Applications. ed. / A. Steland; E. Wafajlowicz; K. Szajowski. Wroclaw, Poland : Springer-Verlag, 2015. p. 283-292 (Springer Proceedings in Mathematics & Statistics, Vol. 122).

Research output: Chapter/Conference proceeding › Chapter › Academic

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T1 - Risk Modelling of Energy Futures: A comparison of RiskMetrics, Historical Simulation, Filtered Historical Simulation, and Quantile Regression.

AU - Huisman, Ronald

AU - Dahlen, KE

AU - Westgaard, S

PY - 2015

Y1 - 2015

M3 - Chapter

SN - 9783319138800

T3 - Springer Proceedings in Mathematics & Statistics

SP - 283

EP - 292

BT - Stochastic Models, Statistics and Their Applications

A2 - Steland, A.

A2 - Wafajlowicz, E.

A2 - Szajowski, K.

PB - Springer-Verlag

CY - Wroclaw, Poland

ER -

Huisman R, Dahlen KE, Westgaard S. Risk Modelling of Energy Futures: A comparison of RiskMetrics, Historical Simulation, Filtered Historical Simulation, and Quantile Regression. In Steland A, Wafajlowicz E, Szajowski K, editors, Stochastic Models, Statistics and Their Applications. Wroclaw, Poland: Springer-Verlag. 2015. p. 283-292. (Springer Proceedings in Mathematics & Statistics, Vol. 122).