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Value-at-Risk Estimation of Crude Oil Price via Morphological Component Analysis
Kaijian He1; Kin Keung Lai1; Jerome Yen2
2010
Conference Name2010 Third International Conference on Business Intelligence and Financial Engineering
Source PublicationProceedings of the Third International Conference on Business Intelligence and Computational Finance, Hong Kong
Pages381-385
Conference Date13-15 Aug. 2010
Conference PlaceHong 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.

KeywordValue At Risk Model Morphological Component Analysis Arma-garch Model
DOI10.1109/BIFE.2010.94
Language英語English
Scopus ID2-s2.0-78650132608
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Document TypeConference paper
CollectionFaculty of Business Administration
Faculty of Science and Technology
DEPARTMENT OF ACCOUNTING AND INFORMATION MANAGEMENT
Affiliation1.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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