Estimating Oil Price Value at Risk Using Belief Functions

DOI10.1007/978-3-319-13449-9_26zbMath1418.91612OpenAlexW159688651MaRDI QIDQ4558859

Songsak Sriboonchitta, Jirakom Sirisrisakulchai, Panisara Phochanachan

Publication date: 30 November 2018

Published in: Econometrics of Risk (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-13449-9_26

zbMATH Keywords

Dempster-Shafer theoryextreme value theoryvalue at riskoil pricefinanciallikelihood-base belief functions

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Uses Software

• FinTS

Cites Work

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• On the Foundations of Statistical Inference
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• Analysis of Financial Time Series

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