Value at risk and expected shortfall estimation for Mexico's isthmus crude oil using long-memory GARCH-EVT combined approaches

Gutiérrez, Raúl de Jesús; Gutiérrez, Lidia E. Carvajal; García Salgado, Oswaldo

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Title:

Value at risk and expected shortfall estimation for Mexico's isthmus crude oil using long-memory GARCH-EVT combined approaches

Journal:

International Journal of Energy Economics and Policy

Authors:

Gutiérrez, Raúl de Jesús
Gutiérrez, Lidia E. Carvajal
García Salgado, Oswaldo

e-ISSN:

2146-4553

Document Type:

Article

Year of Publication:

2023

Open Content License:

Original URL:

https://www.econjournals.com/index.php/ijeep/article/download/14179/7415/33852

Persistent Identifier of the first edition:

doi:10.32479/ijeep.14179

Language:

English (eng)

Citation:

Gutiérrez, Raúl de Jesús/Gutiérrez, Lidia E. Carvajal et. al. (2023). Value at risk and expected shortfall estimation for Mexico's isthmus crude oil using long-memory GARCH-EVT combined approaches. In: International Journal of Energy Economics and Policy 13 (4), S. 467 - 480.
https://www.econjournals.com/index.php/ijeep/article/download/14179/7415/33852.
doi:10.32479/ijeep.14179.

Appears in Collections:

International journal of energy economics and policy (IJEEP)

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