Residential College | false |
Status | 已發表Published |
Value-at-Risk Estimation of Crude Oil Price via Morphological Component Analysis | |
Kaijian He1; Kin Keung Lai1; Jerome Yen2 | |
2010 | |
Conference Name | 2010 Third International Conference on Business Intelligence and Financial Engineering |
Source Publication | Proceedings of the Third International Conference on Business Intelligence and Computational Finance, Hong Kong |
Pages | 381-385 |
Conference Date | 13-15 Aug. 2010 |
Conference Place | Hong Kong, China |
Abstract | 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 representative West Taxes Intermediate (WTI) crude oil market. |
Keyword | Value At Risk Model Morphological Component Analysis Arma-garch Model |
DOI | 10.1109/BIFE.2010.94 |
Language | 英語English |
Scopus ID | 2-s2.0-78650132608 |
Fulltext Access | |
Citation statistics | |
Document Type | Conference paper |
Collection | Faculty of Business Administration Faculty of Science and Technology DEPARTMENT OF ACCOUNTING AND INFORMATION MANAGEMENT |
Affiliation | 1.Department of Management Sciences City University of Hong KongTat Chee Avenue, Kowloon, Hong Kong 2.Department of Finance and Economics Tung Wah College, Wylie Road, Kowloon, Hong Kong |
Recommended Citation GB/T 7714 | Kaijian He,Kin Keung Lai,Jerome Yen. Value-at-Risk Estimation of Crude Oil Price via Morphological Component Analysis[C], 2010, 381-385. |
APA | Kaijian He., Kin Keung Lai., & Jerome Yen (2010). Value-at-Risk Estimation of Crude Oil Price via Morphological Component Analysis. Proceedings of the Third International Conference on Business Intelligence and Computational Finance, Hong Kong, 381-385. |
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