Cookies?
Library Header Image
LSE Research Online LSE Library Services

Less disagreement, better forecasts: adjusted risk measures in the energy futures market

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

[img] Text (Gong_less-disagreement-better-forecasts--published) - Published Version
Available under License Creative Commons Attribution.

Download (7MB)

Identification Number: 10.1002/fut.22412

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
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: 27 Feb 2024 20:00
URI: http://eprints.lse.ac.uk/id/eprint/118451

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics