Journal of Management Science and Engineering2025，Vol.10Issue(3)：P.279-296,18.DOI:10.1016/j.jmse.2025.01.001
Forecasting the value at risk of the crude oil futures market:Do high-frequency data help?
Yongjan Lyu 1Heling Yi 2Fanshu Qin 3Jiatao Liu 4Rui Ke 5Di Gao6
作者信息
- 1. School of Finance,Southwestern University of Finance and Economics,Chengdu,610074,China
- 2. Institute of Chinese Financial Studies,Southwestern University of Finance and Economics,Chengdu,611130,China
- 3. The People''s Bank of China Guizhou Provincial Branch,Guiyang,550001,China
- 4. International Business School Suzhou,Xian Jjiaotong-Liverpool University,Suzhou,215123,China
- 5. School of Economics,Hefei University of Technology,Hefei,230601,China
- 6. school of International Business,Southwestern University of Finance and Economics,Chengdu,611130,China
- 折叠
摘要
关键词
Realized measures/Valueat risk/Sampling frequency/Crude oil futures market分类
管理科学引用本文复制引用
Yongjan Lyu,Heling Yi,Fanshu Qin,Jiatao Liu,Rui Ke,Di Gao..Forecasting the value at risk of the crude oil futures market:Do high-frequency data help?[J].Journal of Management Science and Engineering,2025,10(3):P.279-296,18.
