The value-at-risk evaluation of Brent's crude oil market

Chin Wen Cheong, Zaidi Isa, Khor Chia Ying, Ng Sew Lai

Research output: Chapter in Book/Report/Conference proceedingConference contribution

1 Citation (Scopus)

Abstract

This study investigates the market risk of the Brent's crude oil market. First the long memory time-varying volatility is modelled under the Chung's specification. Second, for model adequacy evaluations on the heavy-tailed, long memory and endogenously estimated power transformation models indicated superior performance in out-of-sample forecasts. Lastly, these findings are further applied in the long and short trading positions of market risk evaluations of the Brent's market.

Original languageEnglish
Title of host publicationAIP Conference Proceedings
PublisherAmerican Institute of Physics Inc.
Pages1118-1125
Number of pages8
Volume1602
ISBN (Print)9780735412361
DOIs
Publication statusPublished - 2014
Event3rd International Conference on Mathematical Sciences, ICMS 2013 - Kuala Lumpur
Duration: 17 Dec 201319 Dec 2013

Other

Other3rd International Conference on Mathematical Sciences, ICMS 2013
CityKuala Lumpur
Period17/12/1319/12/13

Fingerprint

crude oil
adequacy
evaluation
volatility
forecasting
specifications

Keywords

  • ARCH model.
  • crude oil market
  • Dynamic volatility
  • long memory
  • market risk

ASJC Scopus subject areas

  • Physics and Astronomy(all)

Cite this

Cheong, C. W., Isa, Z., Ying, K. C., & Lai, N. S. (2014). The value-at-risk evaluation of Brent's crude oil market. In AIP Conference Proceedings (Vol. 1602, pp. 1118-1125). American Institute of Physics Inc.. https://doi.org/10.1063/1.4882624

The value-at-risk evaluation of Brent's crude oil market. / Cheong, Chin Wen; Isa, Zaidi; Ying, Khor Chia; Lai, Ng Sew.

AIP Conference Proceedings. Vol. 1602 American Institute of Physics Inc., 2014. p. 1118-1125.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Cheong, CW, Isa, Z, Ying, KC & Lai, NS 2014, The value-at-risk evaluation of Brent's crude oil market. in AIP Conference Proceedings. vol. 1602, American Institute of Physics Inc., pp. 1118-1125, 3rd International Conference on Mathematical Sciences, ICMS 2013, Kuala Lumpur, 17/12/13. https://doi.org/10.1063/1.4882624
Cheong CW, Isa Z, Ying KC, Lai NS. The value-at-risk evaluation of Brent's crude oil market. In AIP Conference Proceedings. Vol. 1602. American Institute of Physics Inc. 2014. p. 1118-1125 https://doi.org/10.1063/1.4882624
Cheong, Chin Wen ; Isa, Zaidi ; Ying, Khor Chia ; Lai, Ng Sew. / The value-at-risk evaluation of Brent's crude oil market. AIP Conference Proceedings. Vol. 1602 American Institute of Physics Inc., 2014. pp. 1118-1125
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