Title: An improved historical simulation approach for estimating 'value at risk' of crude oil price

Authors: Ying Fan, Jian-Ling Jiao

Addresses: Institute of Policy and Management, Chinese Academy of Sciences, 100080 Beijing, PR China. ' Institute of Policy and Management, Chinese Academy of Sciences, 100080 Beijing, PR China

Abstract: Value at risk, an effective measurement of financial risk, can be used to forecast the risk associated with oil price movements. In this paper, we propose an improved Historical Simulation Approach, EDFAAF, which is based on a former approach, HSAF. By comparing it with the HSAF approach, we give evidence to show that EDFAAF has a more effective forecasting power in the field of oil risk management.

Keywords: value at risk; oil price movements; historical simulation approach; ARMA model; oil risk management; crude oil prices; financial risk measurement; forecasting.

DOI: 10.1504/IJGEI.2006.008385

International Journal of Global Energy Issues, 2006 Vol.25 No.1/2, pp.83 - 93

Available online: 15 Dec 2005 *

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