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Comparison of Certain Dynamic Estimation Methods of Value at Risk on Polish Gas Market

Alicja Ganczarek-Gamrot & Józef Stawicki

Dynamic Econometric Models2017https://doi.org/10.12775/dem.2017.005article
ABDC C
Weight
0.26

What the paper says

The paper compares the results of the estimation of VaR made using Markov chains as well as linear and non-linear autoregressive models. A comparative analysis was conducted for linear returns of the daily value of the gas base index quoted on the Day-Ahead Market (DAM) of the Polish Power Exchange (PPE) in the period commencing on January 2, 2014 and ending on April 13, 2017. The consistency and independence of the exceedances of estimated VaR were verified applying the Kupiec and Christoffersen tests.

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https://doi.org/https://doi.org/10.12775/dem.2017.005

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@article{alicja2017,
  title        = {{Comparison of Certain Dynamic Estimation Methods of Value at Risk on Polish Gas Market}},
  author       = {Alicja Ganczarek-Gamrot & Józef Stawicki},
  journal      = {Dynamic Econometric Models},
  year         = {2017},
  doi          = {https://doi.org/https://doi.org/10.12775/dem.2017.005},
}

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Comparison of Certain Dynamic Estimation Methods of Value at Risk on Polish Gas Market

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Evidence weight

0.26

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.00 × 0.4 = 0.00
M · momentum0.20 × 0.15 = 0.03
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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