Less disagreement, better forecasts: Adjusted riskmeasures in the energy futures market

Zhang, Ning, Gong, Yujing and Xue, Xiaohan ORCID: https://orcid.org/0000-0001-7864-0719 (2023) Less disagreement, better forecasts: Adjusted riskmeasures in the energy futures market. Journal of Futures Markets, 43 (10). pp. 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
Additional Information: Funding information: Yujing Gong gratefully acknowledges the support of the Economic and Social Research Council (ESRC) in funding the Systemic Risk Centre (grant numbers ES/K002309/1 and ES/R009724/1).
Faculty \ School: Faculty of Social Sciences > Norwich Business School
Depositing User: LivePure Connector
Date Deposited: 24 May 2023 11:32
Last Modified: 07 Oct 2023 01:19
URI: https://ueaeprints.uea.ac.uk/id/eprint/92163
DOI: 10.1002/fut.22412

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