Inicio  /  Energies  /  Vol: 5 Núm: 4Pages8 Par: April (2012)  /  Artículo
ARTÍCULO
TITULO

Portfolio Value at Risk Estimate for Crude Oil Markets: A Multivariate Wavelet Denoising Approach

Kaijian He    
Kin Keung Lai and Guocheng Xiang    

Resumen

In the increasingly globalized economy these days, the major crude oil markets worldwide are seeing higher level of integration, which results in higher level of dependency and transmission of risks among different markets. Thus the risk of the typical multi-asset crude oil portfolio is influenced by dynamic correlation among different assets, which has both normal and transient behaviors. This paper proposes a novel multivariate wavelet denoising based approach for estimating Portfolio Value at Risk (PVaR). The multivariate wavelet analysis is introduced to analyze the multi-scale behaviors of the correlation among different markets and the portfolio volatility behavior in the higher dimensional time scale domain. The heterogeneous data and noise behavior are addressed in the proposed multi-scale denoising based PVaR estimation algorithm, which also incorporatesthe mainstream time series to address other well known data features such as autocorrelation and volatility clustering. Empirical studies suggest that the proposed algorithm outperforms the benchmark ExponentialWeighted Moving Average (EWMA) and DCC-GARCH model, in terms of conventional performance evaluation criteria for the model reliability.

 Artículos similares

       
 
Kevin J. Krizek, Fariya Sharmeen, Karel Martens    
As communities around the globe contemplate the future of their transport portfolio, bicycling's role has increasingly cropped up as a key discussion point. Up until a few years ago, bicycling's value was largely fueled by a loyal advocacy base. Its pote... ver más

 
Thibaut Limon, Yves Crozet     Pág. 2824 - 2842
In France the high speed rail (HSR) network has been regularly extended (More than 2000km in 2015). But France is now facing at once a structural economic slowdown and a growing scarcity of public funds. What are the impacts of this ?new deal? on HSR pro... ver más

 
Hideki Kobayashi, Masahiro Kato, Yukishige Maezawa and Kenji Sano    
Although research and development (R&D) affects new value-added creation, including that related to environmental aspects, there is little literature dealing with the integration of R&D management and eco-value. Here, eco-value of technology is defined a... ver más
Revista: Sustainability