... commodity markets. Design/methodology/approach This paper uses the VaR back-testing approach at six different commodities, seven different volatility models and five different time horizons. Findings This paper finds that the moving average (MA) VaR model tends to be the best for oil, copper, wheat...

... to expect that stock markets are profoundly influenced by oil price changes, remarkably little empirical evidence exists. Hammoudeh et al. (2004, p. 428) , for example, argues: © Emerald Group Publishing Limited 2008 Rate of return Risk analysis Fossil fuels Australia Commodity...