A risk and forecasting analysis of west texas intermediate prices

David E. Allen, Abhay Kumar Singh

Research output: Chapter in Book/Report/Conference proceedingChapterpeer-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.

Original 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

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