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Essay on energy and financial econometrics : dottorato di ricerca in scienze economiche : tesi di dottorato

Bastianin, Andrea <1980- >

Tesi o dissertazioni - 2009

Abstract
ESSAYS ON ENERGY AND FINANCIAL ECONOMETRICS Andrea Bastianin The work presented in this dissertation was motivated by the widely accepted observation that shocks to the prices of important energy sources, such as crude oil and natural gas, can shape the business cycle of industrialized economies. There are at least two aspects to take into account: first, understanding the volatility of energy prices and being able to actively manage financial risk can lead to better business and political decisions. Second, understanding how price shocks hit the economy is useful for policy makers that try fighting their inflationary and recessionary effects. The aim of Chapter one is to analyze the forecasting performance of Conditional Correlation Multivariate GARCH models by answering the following empirical questions: (i) are univariate and multivariate nonnormalities important when forecasting Value-at-Risk (VaR)? (ii) is it worth modelling the dynamics of correlation when forecasting VaR? In Chapter two copula functions are used to forecast the Value-at-Risk (VaR) [...]
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