Zhang, Ning, Gong, Yujing and Xue, Xiaohan (2023) Less disagreement, better forecasts: adjusted risk measures in the energy futures market. Journal of Futures Markets, 43 (10). 1332 - 1372. ISSN 0270-7314
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Abstract
This paper develops a generic adjustment framework to improve in the market risk forecasts of diverse risk forecasting models, which indicates the degree to which risk is under- and overestimated. In the context of the energy commodity market, a market in which tail risk management is of crucial importance, the empirical analysis shows that after this adjustment framework is applied, the forecasting performance of various risk models generally improves, as verified by a battery of backtesting methods. Additionally, our method also lessens the risk model disagreement among post-adjusted risk forecasts.
Item Type: | Article |
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Official URL: | https://onlinelibrary.wiley.com/journal/10969934 |
Additional Information: | © 2023 The Authors |
Divisions: | Systemic Risk Centre |
Subjects: | H Social Sciences > HG Finance H Social Sciences > HB Economic Theory |
JEL classification: | C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation and Selection C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Other Model Applications G - Financial Economics > G1 - General Financial Markets > G10 - General |
Date Deposited: | 17 Mar 2023 10:57 |
Last Modified: | 25 Nov 2024 17:27 |
URI: | http://eprints.lse.ac.uk/id/eprint/118451 |
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