Modelling and forecasting crude oil volatility: Performances of GARCH-type Models - Couverture souple

Musayev, Emin

Couverture souple

ISBN 10 : 3330008938 ISBN 13 : 9783330008939

Editeur : LAP LAMBERT Academic Publishing, 2016

Synopsis

Crude oil is one of important forces driving the global economy. Fluctuations in oil prices have significant effects on economic rise and welfare throughout the world. As the effects of oil volatility broaden from firms' level to governments, both policymakers and investors are interested in modelling and predicting crude oil prices. Since there is a lack of research on modelling (especially asymmetric modelling) and forecasting crude oil volatility, the goal of this paper is to contribute this scarce energy literature. The current work evaluates the performances of various GARCH-type models with application in three crude oil benchmarks. The analysis should be essential for financial decisions and portfolio risk management, especially with regard to the valuation issues of oil-related products and energy derivative instruments.

A propos du livre

À propos de l'auteur

Emin Musayev holds an MSc in Financial Risk Management from the University of Glasgow, UK. He is currently working as the lead risk analyst at IT and Communication Department of State Oil Company of the Azerbaijan Republic. Mr Musayev also gives lectures on Econometrics and Business Statistics for undergraduate and postgraduate students.

Détails de l'édition

• Éditeur: LAP LAMBERT Academic Publishing
• Date d'édition: 2016
• Langue: anglais
• ISBN 10: 3330008938
• ISBN 13: 9783330008939
• Reliure: Broché
• Nombre de pages: 80
• Coordonnées du fabricant: non disponible
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