<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>0186-1042</journal-id>
<journal-title><![CDATA[Contaduría y administración]]></journal-title>
<abbrev-journal-title><![CDATA[Contad. Adm]]></abbrev-journal-title>
<issn>0186-1042</issn>
<publisher>
<publisher-name><![CDATA[Universidad Nacional Autónoma de México, Facultad de Contaduría y Administración]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S0186-10422020000200012</article-id>
<article-id pub-id-type="doi">10.22201/fca.24488410e.2019.2021</article-id>
<title-group>
<article-title xml:lang="es"><![CDATA[Valor en riesgo en el sector petrolero: un análisis de la eficiencia en la medición del riesgo de la distribución &#945;-estable versus las distribuciones t-Student generalizada asimétrica y normal]]></article-title>
<article-title xml:lang="en"><![CDATA[Value at risk in the oil sector: an analysis of the efficiency in the measurement of the risk of the &#945;-stable distribution versus the generalized asymmetric Student-t and normal distributions]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Serrano Bautista]]></surname>
<given-names><![CDATA[Ramona]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Núñez Mora]]></surname>
<given-names><![CDATA[José Antonio]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad Panamericana Escuela de Ciencias Económicas y Empresariales ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<aff id="Af2">
<institution><![CDATA[,Instituto Tecnológico y de Estudios Superiores de Monterrey EGADE Business School ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>06</month>
<year>2020</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>06</month>
<year>2020</year>
</pub-date>
<volume>65</volume>
<numero>2</numero>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S0186-10422020000200012&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S0186-10422020000200012&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S0186-10422020000200012&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen En el sector petrolero, el VaR se ha implementado con el objetivo de cuantificar lo mejor posible los movimientos extremos de los precios del petróleo, debido a que estos repercuten la actividad económica y afectan significativamente los movimientos en el mercado accionario (Sadorsky, 1999). Con este propósito, en esta investigación cuantificamos el VaR considerando tres tipos de petróleo (Brent, WTI y MME) y analizamos el desempeño de la estimación del VaR a un día mediante el estadístico de Kupiec considerando modelos GARCH con tres distribuciones alternativas en el proceso de innovación: estable, t-Student generalizada asimétrica y normal en un período de alta volatilidad. Los resultados de la evaluación de desempeño del modelo basado en el estadístico de Kupiec señalan que el modelo VaR-estable es un modelo más robusto y preciso para ambos niveles de confianza que los basados en las distribuciónes t-Student generalizada asimétrica y normal. Este resultado es crucial en el sector financiero, debido a que impacta directamente en la previsión de reservas necesarias para afrontar potenciales pérdidas.]]></p></abstract>
<abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract In the oil sector, value at risk (VaR) can be used to quantify as best as possible the maximum oil price changes, because these have an impact on economic activity and finds evidence of its importance in explaining movements in the stock returns (Sadorsky, 1999). With this purpose, in this paper we quantify the VaR of three types of oil (Brent, WTI and MME) and analyze the performance of the one-day VaR estimation by Kupiec test considering GARCH models with three alternative distributions in the innovation process: stable, Student-t generalized and normal in a period of high volatility. The results of the performance evaluation of the model based on the Kupiec statistic indicate that the VaR-stable model is a more robust and accurate model for both confidence levels than those based on the generalized asymmetric and normalized Student t-distributions. This result is crucial in the financial sector, because it directly impacts the provision of reserves necessary to face potential losses.]]></p></abstract>
<kwd-group>
<kwd lng="es"><![CDATA[G17]]></kwd>
<kwd lng="es"><![CDATA[C22]]></kwd>
<kwd lng="es"><![CDATA[C13]]></kwd>
<kwd lng="es"><![CDATA[Distribución estable]]></kwd>
<kwd lng="es"><![CDATA[Distribución t-Student generalizada asimétrica]]></kwd>
<kwd lng="es"><![CDATA[Valor en riesgo (VaR)]]></kwd>
<kwd lng="es"><![CDATA[GARCH]]></kwd>
<kwd lng="en"><![CDATA[G17]]></kwd>
<kwd lng="en"><![CDATA[C22]]></kwd>
<kwd lng="en"><![CDATA[C13]]></kwd>
<kwd lng="en"><![CDATA[Stable distributions]]></kwd>
<kwd lng="en"><![CDATA[Generalized skew t distribution]]></kwd>
<kwd lng="en"><![CDATA[Value at risk (VaR)]]></kwd>
<kwd lng="en"><![CDATA[GARCH]]></kwd>
</kwd-group>
</article-meta>
</front><back>
<ref-list>
<ref id="B1">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Barone-Adesi]]></surname>
<given-names><![CDATA[G.]]></given-names>
</name>
<name>
<surname><![CDATA[Giannopoulos]]></surname>
<given-names><![CDATA[K.]]></given-names>
</name>
<name>
<surname><![CDATA[Vosper]]></surname>
<given-names><![CDATA[L.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[VaR without correlations for portfolios of derivative securities]]></article-title>
<source><![CDATA[Journal of Futures Markets]]></source>
<year>1999</year>
<volume>19</volume>
<numero>5</numero>
<issue>5</issue>
<page-range>583-602</page-range></nlm-citation>
</ref>
<ref id="B2">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Aloui]]></surname>
<given-names><![CDATA[C.]]></given-names>
</name>
<name>
<surname><![CDATA[Mabrouk]]></surname>
<given-names><![CDATA[S.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Value-at-risk estimations of energy commodities via long-memory, asymmetry and fat-tailed GARCH models]]></article-title>
<source><![CDATA[Energy Policy]]></source>
<year>2010</year>
<volume>38</volume>
<numero>5</numero>
<issue>5</issue>
<page-range>2326-39</page-range></nlm-citation>
</ref>
<ref id="B3">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Bali]]></surname>
<given-names><![CDATA[T. G.]]></given-names>
</name>
<name>
<surname><![CDATA[Theodossiou]]></surname>
<given-names><![CDATA[P.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Aconditional-SGT-VaR approach with alternative GARCH models]]></article-title>
<source><![CDATA[Annals of Operations Research]]></source>
<year>2007</year>
<volume>151</volume>
<numero>1</numero>
<issue>1</issue>
<page-range>241-67</page-range></nlm-citation>
</ref>
<ref id="B4">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Bollerslev]]></surname>
<given-names><![CDATA[T.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Generalized atutoregressive conditional heteroskedasticity]]></article-title>
<source><![CDATA[Journal of Econometrics]]></source>
<year>1986</year>
<volume>31</volume>
<page-range>307-27</page-range></nlm-citation>
</ref>
<ref id="B5">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Cabedo]]></surname>
<given-names><![CDATA[J. D.]]></given-names>
</name>
<name>
<surname><![CDATA[Moya]]></surname>
<given-names><![CDATA[I.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Estimating oil price &#8220;value at risk&#8221; using the historical simulation approach]]></article-title>
<source><![CDATA[Energy Economics]]></source>
<year>2003</year>
<volume>25</volume>
<numero>3</numero>
<issue>3</issue>
<page-range>239-53</page-range></nlm-citation>
</ref>
<ref id="B6">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Champagnat]]></surname>
<given-names><![CDATA[N.]]></given-names>
</name>
<name>
<surname><![CDATA[Deaconu]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
<name>
<surname><![CDATA[Lejay]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
<name>
<surname><![CDATA[Navet]]></surname>
<given-names><![CDATA[N.]]></given-names>
</name>
<name>
<surname><![CDATA[Boukherouaa]]></surname>
<given-names><![CDATA[S.]]></given-names>
</name>
</person-group>
<source><![CDATA[An empirical analysis of heavy-tail behavior of financial data: The case for power laws]]></source>
<year>2013</year>
<publisher-name><![CDATA[Hal]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B7">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Cheng]]></surname>
<given-names><![CDATA[W. H.]]></given-names>
</name>
<name>
<surname><![CDATA[Hung]]></surname>
<given-names><![CDATA[J. C.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns]]></article-title>
<source><![CDATA[Journal of Empirical Finance]]></source>
<year>2011</year>
<volume>18</volume>
<numero>1</numero>
<issue>1</issue>
<page-range>160-73</page-range></nlm-citation>
</ref>
<ref id="B8">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Costello]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
<name>
<surname><![CDATA[Asem]]></surname>
<given-names><![CDATA[E.]]></given-names>
</name>
<name>
<surname><![CDATA[Gardner]]></surname>
<given-names><![CDATA[E.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Comparison of historically simulated VaR: Evidence from oil prices]]></article-title>
<source><![CDATA[Energy Economics]]></source>
<year>2008</year>
<volume>30</volume>
<numero>5</numero>
<issue>5</issue>
<page-range>2154-66</page-range></nlm-citation>
</ref>
<ref id="B9">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[De Jesús Gutierrez]]></surname>
<given-names><![CDATA[R.]]></given-names>
</name>
<name>
<surname><![CDATA[Ortiz]]></surname>
<given-names><![CDATA[E.]]></given-names>
</name>
<name>
<surname><![CDATA[García]]></surname>
<given-names><![CDATA[O.]]></given-names>
</name>
<name>
<surname><![CDATA[Morales]]></surname>
<given-names><![CDATA[V.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Medición del riesgo de la cola en el mercado del petróleo mexicano aplicando la teoría de valores extremos condicional]]></article-title>
<source><![CDATA[EconoQuantum]]></source>
<year>2016</year>
<volume>13</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>77-98</page-range></nlm-citation>
</ref>
<ref id="B10">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Dickey]]></surname>
<given-names><![CDATA[D.]]></given-names>
</name>
<name>
<surname><![CDATA[Fuller]]></surname>
<given-names><![CDATA[W.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Distribution of the estimators for autoregressive time series with a unit root]]></article-title>
<source><![CDATA[Journal of the American Statistical Association]]></source>
<year>1979</year>
<volume>74</volume>
<page-range>427-31</page-range></nlm-citation>
</ref>
<ref id="B11">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Engle]]></surname>
<given-names><![CDATA[R. F.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation]]></article-title>
<source><![CDATA[Econometria]]></source>
<year>1982</year>
<volume>50</volume>
<numero>4</numero>
<issue>4</issue>
<page-range>987-1007</page-range></nlm-citation>
</ref>
<ref id="B12">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Fama]]></surname>
<given-names><![CDATA[E. F.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[The Behavior of Stock-Market Prices]]></article-title>
<source><![CDATA[The Journal of Business]]></source>
<year>1965</year>
<volume>38</volume>
<numero>1</numero>
<issue>1</issue>
<page-range>34-105</page-range></nlm-citation>
</ref>
<ref id="B13">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Fan]]></surname>
<given-names><![CDATA[Y.]]></given-names>
</name>
<name>
<surname><![CDATA[Zhang]]></surname>
<given-names><![CDATA[Y. J.]]></given-names>
</name>
<name>
<surname><![CDATA[Tsai]]></surname>
<given-names><![CDATA[H. T.]]></given-names>
</name>
<name>
<surname><![CDATA[Wei]]></surname>
<given-names><![CDATA[Y. M.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Estimating &#8220;Value at Risk&#8221; of crude oil price and its spill-over effect using the GED-GARCH approach]]></article-title>
<source><![CDATA[Energy Economics]]></source>
<year>2008</year>
<volume>30</volume>
<numero>6</numero>
<issue>6</issue>
<page-range>3156-71</page-range></nlm-citation>
</ref>
<ref id="B14">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Giot]]></surname>
<given-names><![CDATA[P.]]></given-names>
</name>
<name>
<surname><![CDATA[Laurent]]></surname>
<given-names><![CDATA[S.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Market risk in commodity markets: a VaR approach]]></article-title>
<source><![CDATA[Energy Economics]]></source>
<year>2003</year>
<volume>25</volume>
<numero>25</numero>
<issue>25</issue>
<page-range>435-57</page-range></nlm-citation>
</ref>
<ref id="B15">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Hamilton]]></surname>
<given-names><![CDATA[J. D.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Oil and the Macroeconomy since World War II]]></article-title>
<source><![CDATA[Journal of Political Economy]]></source>
<year>1983</year>
<volume>91</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>228-48</page-range></nlm-citation>
</ref>
<ref id="B16">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Hang Chan]]></surname>
<given-names><![CDATA[N.]]></given-names>
</name>
<name>
<surname><![CDATA[Deng]]></surname>
<given-names><![CDATA[S. J.]]></given-names>
</name>
<name>
<surname><![CDATA[Peng]]></surname>
<given-names><![CDATA[L.]]></given-names>
</name>
<name>
<surname><![CDATA[Xia]]></surname>
<given-names><![CDATA[Z.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations]]></article-title>
<source><![CDATA[Journal of Econometrics]]></source>
<year>2007</year>
<volume>137</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>556-76</page-range></nlm-citation>
</ref>
<ref id="B17">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Hansen]]></surname>
<given-names><![CDATA[B. E.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Autoregressive Conditional Density Estimation]]></article-title>
<source><![CDATA[International Economic Review]]></source>
<year>1994</year>
<volume>35</volume>
<numero>3</numero>
<issue>3</issue>
<page-range>705-30</page-range></nlm-citation>
</ref>
<ref id="B18">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Hung]]></surname>
<given-names><![CDATA[J. C.]]></given-names>
</name>
<name>
<surname><![CDATA[Lee]]></surname>
<given-names><![CDATA[M. C.]]></given-names>
</name>
<name>
<surname><![CDATA[Liu]]></surname>
<given-names><![CDATA[H. C.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Estimation of value-at-risk for energy commodities via fat-tailed GARCH models]]></article-title>
<source><![CDATA[Energy Economics]]></source>
<year>2008</year>
<volume>30</volume>
<numero>3</numero>
<issue>3</issue>
<page-range>1173-91</page-range></nlm-citation>
</ref>
<ref id="B19">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Jarque]]></surname>
<given-names><![CDATA[C.M.]]></given-names>
</name>
<name>
<surname><![CDATA[Bera]]></surname>
<given-names><![CDATA[A.K.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Efficient tests for normality, homoskedasticity and serial independence of regression residuals]]></article-title>
<source><![CDATA[Economics Letters]]></source>
<year>1980</year>
<volume>6</volume>
<page-range>225-59</page-range></nlm-citation>
</ref>
<ref id="B20">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Jorion]]></surname>
<given-names><![CDATA[P.]]></given-names>
</name>
</person-group>
<source><![CDATA[Value at Risk, The New Benchmark for Managing Financial Risk]]></source>
<year>2001</year>
<edition>2nd</edition>
<publisher-loc><![CDATA[United States ]]></publisher-loc>
<publisher-name><![CDATA[McGraw-Hill]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B21">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Kupiec]]></surname>
<given-names><![CDATA[P. H.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Techniques for verifying the accuracy of risk measurement models]]></article-title>
<source><![CDATA[Journal of Derivatives]]></source>
<year>1995</year>
<volume>3</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>73-84</page-range></nlm-citation>
</ref>
<ref id="B22">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Kwiatkowski]]></surname>
<given-names><![CDATA[D.]]></given-names>
</name>
<name>
<surname><![CDATA[Phillips]]></surname>
<given-names><![CDATA[P.C.W.]]></given-names>
</name>
<name>
<surname><![CDATA[Schmidt]]></surname>
<given-names><![CDATA[P.]]></given-names>
</name>
<name>
<surname><![CDATA[Shin]]></surname>
<given-names><![CDATA[Y.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Testing the null hypothesis of stationarity against the alternative of unit root]]></article-title>
<source><![CDATA[Journal of Econometrics]]></source>
<year>1992</year>
<volume>54</volume>
<page-range>159-78</page-range></nlm-citation>
</ref>
<ref id="B23">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Marimoutou]]></surname>
<given-names><![CDATA[V.]]></given-names>
</name>
<name>
<surname><![CDATA[Raggad]]></surname>
<given-names><![CDATA[B.]]></given-names>
</name>
<name>
<surname><![CDATA[Trabelsi]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Extreme Value Theory and Value at Risk: Application to oil market]]></article-title>
<source><![CDATA[Energy Economics]]></source>
<year>2009</year>
<volume>31</volume>
<numero>4</numero>
<issue>4</issue>
<page-range>519-30</page-range></nlm-citation>
</ref>
<ref id="B24">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Morana]]></surname>
<given-names><![CDATA[C.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[A semiparametric approach to short-term oil price forecasting]]></article-title>
<source><![CDATA[Energy Economics]]></source>
<year>2001</year>
<volume>23</volume>
<numero>3</numero>
<issue>3</issue>
<page-range>325-38</page-range></nlm-citation>
</ref>
<ref id="B25">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Nolan]]></surname>
<given-names><![CDATA[J. P.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Numerical calculation of stable densities and distribution functions]]></article-title>
<source><![CDATA[Communications in Statististics. Stochastic Models]]></source>
<year>1997</year>
<volume>13</volume>
<page-range>759-74</page-range></nlm-citation>
</ref>
<ref id="B26">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Phillips]]></surname>
<given-names><![CDATA[P.C.B.]]></given-names>
</name>
<name>
<surname><![CDATA[Perron]]></surname>
<given-names><![CDATA[P.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Testing for a unit root in time series regression]]></article-title>
<source><![CDATA[Biometrika]]></source>
<year>1988</year>
<volume>75</volume>
<page-range>335-46</page-range></nlm-citation>
</ref>
<ref id="B27">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Ruiz-Porras]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
<name>
<surname><![CDATA[Anguiano Pita]]></surname>
<given-names><![CDATA[J. E.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Modeling the Dynamics, Volatilities and Interrelations of the Mexican, Brent and WTI Oil Returns]]></article-title>
<source><![CDATA[nsayos Revista de Economía]]></source>
<year>2016</year>
<volume>35</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>175-93</page-range></nlm-citation>
</ref>
<ref id="B28">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Sadeghi]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
<name>
<surname><![CDATA[Shavvalpour]]></surname>
<given-names><![CDATA[S.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Energy risk management and value at risk modeling]]></article-title>
<source><![CDATA[Energy Policy]]></source>
<year>2006</year>
<volume>34</volume>
<numero>18</numero>
<issue>18</issue>
<page-range>3367-73</page-range></nlm-citation>
</ref>
<ref id="B29">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Sadorsky]]></surname>
<given-names><![CDATA[P.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Oil price shocks and stock market activity]]></article-title>
<source><![CDATA[Energy Economics]]></source>
<year>1999</year>
<volume>21</volume>
<numero>5</numero>
<issue>5</issue>
<page-range>449-69</page-range></nlm-citation>
</ref>
<ref id="B30">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Sadorsky]]></surname>
<given-names><![CDATA[P.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Modeling and forecasting petroleum futures volatility]]></article-title>
<source><![CDATA[Energy Economics]]></source>
<year>2006</year>
<volume>28</volume>
<numero>4</numero>
<issue>4</issue>
<page-range>467-88</page-range></nlm-citation>
</ref>
<ref id="B31">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Shapiro]]></surname>
<given-names><![CDATA[S.S.]]></given-names>
</name>
<name>
<surname><![CDATA[Wilk]]></surname>
<given-names><![CDATA[M.B.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[An Analysis of Variance Test for Normality (Complete Samples)]]></article-title>
<source><![CDATA[Biometrika]]></source>
<year>1965</year>
<volume>52</volume>
<page-range>591-611</page-range></nlm-citation>
</ref>
<ref id="B32">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Schwert]]></surname>
<given-names><![CDATA[G.W.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Why Does Stock Market Volatility Change Over Time?]]></article-title>
<source><![CDATA[Journal of Finance]]></source>
<year>1989</year>
<volume>44</volume>
<page-range>1115-53</page-range></nlm-citation>
</ref>
<ref id="B33">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Taylor]]></surname>
<given-names><![CDATA[S.]]></given-names>
</name>
</person-group>
<source><![CDATA[Modeling Financial Time Series]]></source>
<year>1986</year>
<publisher-loc><![CDATA[New York, NY ]]></publisher-loc>
<publisher-name><![CDATA[Wiley]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B34">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Youssef]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
<name>
<surname><![CDATA[Belkacem]]></surname>
<given-names><![CDATA[L.]]></given-names>
</name>
<name>
<surname><![CDATA[Mokni]]></surname>
<given-names><![CDATA[K.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Value-at-Risk estimation of energy commodities: A long-memory GARCH-EVT approach]]></article-title>
<source><![CDATA[Energy Economics]]></source>
<year>2015</year>
<volume>51</volume>
<page-range>99-110</page-range></nlm-citation>
</ref>
</ref-list>
</back>
</article>
