The 19 references without contexts in paper Liyuan Chen, Paola Zerilli, Christopher F Baum (2018) “Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications” / RePEc:boc:bocoec:953

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Mathematical Finance, 9(3), 203-228.
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Basel Committee on Banking Supervision. 1996a. Amendment to the Capital Accord to incorporate market risks. Bank for International Settlements, Basel.
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Basel Committee on Banking Supervision. 1996b. Supervisory framework for the use of backtesting in conjunction with the internal models approach to market risk capital requirements. Publication No. 22, Bank for International Settlements, Basel.
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GED stochastic volatility model.Studies in Nonlinear Dynamics&Econometrics, 8(2).
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Chan, J. C. and Grant, A. L. (2016b). On the observed-data deviance information criterion for volatility modeling.Journal of Financial Econometrics, 14(4), 772-802.
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Chan,J. C. and Hsiao,C. Y.-L. (2013).Estimation of Stochastic Solatility
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ModelswithHeavyTailsandSerialDependence.[Online].Availableat https://papers.ssrn.com/sol3/papers.cfm?abstractid=2359838[Accessed27October 2017].
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Fan, Y., Zhang, Y. -J., Tsai, H. -T. and Wei, Y. -M. (2008). Estimating Value at Riskof crude oil price and its spillover effect using the GED-GARCH approach.Energy Economics, 30(6), 3156-3171.
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Hung, J.-C., Lee, M.-C. and Liu, H.-C. (2008). Estimation of value-at-risk for energy commodities via fat-tailed GARCH models.Energy Economics, 30(3), 1173-1191.
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Koopman, S. J. and Hol Uspensky, E. (2002). The stochastic volatility in mean model: empirical evidence from international stock markets.Journal of Applied Econometrics, 17(6), 667-689.
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The Journal of Derivatives, 3(2), 73-84.
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Auckland,Economics Working Paper, (229).
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A. Asymmetric Laplace distribution A random variableXis said to follow an Asymmetric Laplace Distribution if the characteristic function ofXcan be defined as: ψ(t) = 1
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B. VaR and CVaR derivation for oil supply and demand under SV-ALD For oil supply, we have: P(yt≤−V aRs,t|Ωt) =P ( yt−μ
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C. Derivation of the pdf of scaled ALD Consider a random variablezfollows the Asymmetric Laplace density function in equation (17) with mean and variance given by:15 E(z) =θ+ τ
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D. Derivation of scaled ALD as an SMU This part demonstrates the derivation of SALD as a scale mixture offU(εt|θ−λκ 2σt √ 1+κ4
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Since Case (2): ∫∞ 0 √
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E. Derivation of full conditional distributions This part presents brief derivation of the full conditional distributions of model parameters and latent volatilities under the SMU of ALD. •For parameterδ, we have: f(δ|β,σ2η,h,y)∝f(h1|δ,β,σ2η)
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B Hence, we can obtain: δ|β,σ2η,h,y∼N( B A
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