Value-at-Risk Estimation of Crude Oil Price via Morphological Component Analysis
With the increasing level of volatility in the crude oil market,the transient data feature becomes more prevalent in the market and is no longer ignorable during the risk measurement process. Since using a set of bases available there are multiple representations for these transient data features,the sparsity measure based Morphological Component Analysis (MCF) model is proposed in this paper to find the optimal combinations of representations for them. Therefore,this paper proposes a MCF based hybrid methodology for analyzing and forecasting the risk evolution in the crude oil market. The underlying transient data with distinct behaviors are extracted and analyzed using MCF model. The proposed algorithm incorporates these transient data features to adjust for estimates from traditional approach based on normal market condition during its risk measurement process. The reliability and stability of Value at Risk (VaR) estimated improve as a result of finer modeling procedure in the multi frequency and time domain while maintaining competent accuracy level,as supported by empirical studies in the representativeWest Taxes Intermediate (WTI) crude oil market.
Morphological Component Analysis ARMAGARCH Model Value at Risk Model
Kaijian He Kin Keung Lai Jerome Yen
Department of Management Sciences City University of Hong Kong Tat Chee Avenue,Kowloon,Hong Kong Department of Finance and Economics Tung Wah College,Wylie Road,Kowloon,Hong Kong
国际会议
香港
英文
381-385
2010-08-17（万方平台首次上网日期，不代表论文的发表时间）