A risk and forecasting analysis of west texas intermediate prices

David E. Allen, Abhay Kumar Singh

Research output: Chapter in Book/Report/Conference proceedingChapterResearchpeer-review

Abstract

In this chapter, we perform a two-step analysis that involves a sample of logarithmic returns formed from the daily closing prices of WTI oil prices. In the first step we employ CAViaR, a modeling approach formulated by Engle and Manganelli in 2004 which is a “value-at-risk” (VaR) modeling technique that uses quantile regression, to forecast WTI value-at-risk. In the second step we show the applicability of “support-vector regression” for oil-price prediction and compare it with more standard time-series ARIMA modeling.

LanguageEnglish
Title of host publicationFinancial econometrics modeling
Subtitle of host publicationmarket microstructure, factor models and financial risk measures
EditorsGreg N. Gregoriou, Razvan Pascalau
Place of PublicationHampshire, UK
PublisherPalgrave Macmillan
Pages235-254
Number of pages20
ISBN (Electronic)9780230298101
ISBN (Print)9780230283626, 9781349328901
DOIs
Publication statusPublished - 2011
Externally publishedYes

Fingerprint

Modeling
Oil prices
Value at risk
Closing price
Prediction
Support vector regression
Quantile regression

Cite this

Allen, D. E., & Singh, A. K. (2011). A risk and forecasting analysis of west texas intermediate prices. In G. N. Gregoriou, & R. Pascalau (Eds.), Financial econometrics modeling: market microstructure, factor models and financial risk measures (pp. 235-254). Hampshire, UK: Palgrave Macmillan. https://doi.org/10.1057/9780230298101_10
Allen, David E. ; Singh, Abhay Kumar. / A risk and forecasting analysis of west texas intermediate prices. Financial econometrics modeling: market microstructure, factor models and financial risk measures. editor / Greg N. Gregoriou ; Razvan Pascalau. Hampshire, UK : Palgrave Macmillan, 2011. pp. 235-254
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Allen, DE & Singh, AK 2011, A risk and forecasting analysis of west texas intermediate prices. in GN Gregoriou & R Pascalau (eds), Financial econometrics modeling: market microstructure, factor models and financial risk measures. Palgrave Macmillan, Hampshire, UK, pp. 235-254. https://doi.org/10.1057/9780230298101_10

A risk and forecasting analysis of west texas intermediate prices. / Allen, David E.; Singh, Abhay Kumar.

Financial econometrics modeling: market microstructure, factor models and financial risk measures. ed. / Greg N. Gregoriou; Razvan Pascalau. Hampshire, UK : Palgrave Macmillan, 2011. p. 235-254.

Research output: Chapter in Book/Report/Conference proceedingChapterResearchpeer-review

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Allen DE, Singh AK. A risk and forecasting analysis of west texas intermediate prices. In Gregoriou GN, Pascalau R, editors, Financial econometrics modeling: market microstructure, factor models and financial risk measures. Hampshire, UK: Palgrave Macmillan. 2011. p. 235-254 https://doi.org/10.1057/9780230298101_10