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Title:Risk management in the energy markets and value-at-risk modelling : a hybrid approach Author(s):ANDRIOSOPOULOS, Kostas; NOMIKOS, NikosDate:2012Type:Working PaperSeries/Number:EUI RSCAS; 2012/47; Loyola de Palacio Programme on Energy PolicyAbstract:This paper proposes a set of VaR models appropriate to capture the dynamics of energy prices and subsequently quantify energy price risk by calculating VaR and ES measures. Amongst the competing VaR methodologies evaluated ...