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The Impact of Outliers on Computing Conditional Risk Measures for Crude Oil and Natural Gas Commodity Futures Prices

https://doi.org/10.2139/ssrn.3122009
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/for.3980070102openalex-extracted
Outliers, level shifts, and variance changes in time series
inferredcites →https://doi.org/10.1016/j.eneco.2016.10.009openalex-extracted
Macroeconomic performance of oil price shocks: Outlier evidence from nineteen major oil-related countries/regions
inferredcites →https://doi.org/10.1016/j.eneco.2017.11.014openalex-extracted
Asymmetries, outliers and structural stability in the US gasoline market
inferredcites →https://doi.org/10.1016/j.ijforecast.2015.04.005openalex-extracted
Outlier Detection in Structural Time Series Models: The Indicator Saturation Approach
inferredcites →https://doi.org/10.1016/j.intfin.2007.03.001openalex-extracted
Robust outlier detection for Asia–Pacific stock index returns
inferredcites →https://doi.org/10.1016/j.jbankfin.2007.05.014openalex-extracted
Do banks overstate their Value-at-Risk?
inferredcites →https://doi.org/10.1016/s0378-4266(02)00271-6openalex-extracted
Conditional value-at-risk for general loss distributions
inferredcites →https://doi.org/10.1016/s0378-4266(02)00281-9openalex-extracted
Spectral measures of risk: A coherent representation of subjective risk aversion
inferredcites →https://doi.org/10.1080/00401706.1988.10488367openalex-extracted
Estimation of Time Series Parameters in the Presence of Outliers
inferredcites →https://doi.org/10.1080/01621459.1993.10594321openalex-extracted
Joint Estimation of Model Parameters and Outlier Effects in Time Series
inferredcites →https://doi.org/10.1081/sta-120021331openalex-extracted
The Identification of Multiple Outliers in ARIMA Models
inferredcites →https://doi.org/10.1109/tkde.2013.184openalex-extracted
Outlier Detection for Temporal Data: A Survey
inferredcites →https://doi.org/10.1111/fima.12269openalex-extracted
Identifying and treating outliers in finance
inferredcites →https://doi.org/10.1111/j.1467-9892.1994.tb00188.xopenalex-extracted
BAYESIAN ANALYSIS OF AUTOREGRESSIVE TIME SERIES VIA THE GIBBS SAMPLER
inferredcites →https://doi.org/10.1111/j.2517-6161.1972.tb00912.xopenalex-extracted
Outliers in Time Series
inferredcites →https://doi.org/10.1111/j.2517-6161.1986.tb01388.xopenalex-extracted
Distinguishing Outlier Types in Time Series
inferredcites →https://doi.org/10.18637/jss.v027.i03openalex-extracted
Automatic Time Series Forecasting: The forecast Package for R
inferredcites →https://doi.org/10.2139/ssrn.3069535openalex-extracted
The Collateral Rule: An Empirical Analysis of the CDS Market
inferredcites →https://doi.org/10.2307/1270165openalex-extracted
Estimation of Time Series Parameters in the Presence of Outliers
inferredcites →https://doi.org/10.32614/cran.package.forecastopenalex-extracted
forecast: Forecasting Functions for Time Series and Linear Models
inferredcites →https://doi.org/10.1016/j.jbankfin.2009.07.003openalex-snapshot
Diversification and Value-at-Risk
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