Estimating VaR and ES of the spot price of oil using futures-varying centiles

Author： Scandroglio Giacomo   Gori Andrea   Vaccaro Emiliano   Voudouris Vlasios  

Publisher： Inderscience Publishers

ISSN： 2049-0909

Source： International Journal of Financial Engineering and Risk Management, Vol.1, Iss.1, 2013-05, pp. : 6-19

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