{"id":"https://openalex.org/W2035008307","doi":"https://doi.org/10.1016/j.eneco.2010.11.002","title":"Value-at-risk estimation with the optimal dynamic biofuel portfolio","display_name":"Value-at-risk estimation with the optimal dynamic biofuel portfolio","publication_year":2010,"publication_date":"2010-11-20","ids":{"openalex":"https://openalex.org/W2035008307","doi":"https://doi.org/10.1016/j.eneco.2010.11.002","mag":"2035008307"},"language":"en","primary_location":{"id":"doi:10.1016/j.eneco.2010.11.002","doi":"https://doi.org/10.1016/j.eneco.2010.11.002","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.eneco.2010.11.002","pdf_url":null,"source":{"id":"https://openalex.org/S94499970","display_name":"Energy Economics","issn_l":"0140-9883","issn":["0140-9883","1873-6181"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","fnege-2","jufo-1","norway-1","poland-200","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Energy Economics","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5102771461","display_name":"Ting-Huan Chang","orcid":"https://orcid.org/0000-0001-6496-4915","observed_orcids":["https://orcid.org/0000-0001-6496-4915"]},"institutions":[{"id":"https://openalex.org/I14780663","display_name":"MingDao University","ror":"https://ror.org/01nrk6j30","country_code":"TW","type":"education","lineage":["https://openalex.org/I14780663"]}],"countries":["TW"],"is_corresponding":false,"raw_author_name":"Ting-Huan Chang","raw_affiliation_strings":["Department of Finance, MingDao University, Changhua, Taiwan, ROC"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Finance, MingDao University, Changhua, Taiwan, ROC","institution_ids":["https://openalex.org/I14780663"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5081043514","display_name":"Hsin-Mei Su","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I107470533","display_name":"Tamkang University","ror":"https://ror.org/04tft4718","country_code":"TW","type":"education","lineage":["https://openalex.org/I107470533"]}],"countries":["TW"],"is_corresponding":true,"raw_author_name":"Hsin-Mei Su","raw_affiliation_strings":["Department of Banking and Finance, Tamkang University, Taipei County, Taiwan, ROC"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Banking and Finance, Tamkang University, Taipei County, Taiwan, ROC","institution_ids":["https://openalex.org/I107470533"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5012764564","display_name":"Chien\u2010Liang Chiu","orcid":"https://orcid.org/0000-0001-9508-7206","observed_orcids":["https://orcid.org/0000-0001-9508-7206"]},"institutions":[{"id":"https://openalex.org/I107470533","display_name":"Tamkang University","ror":"https://ror.org/04tft4718","country_code":"TW","type":"education","lineage":["https://openalex.org/I107470533"]}],"countries":["TW"],"is_corresponding":false,"raw_author_name":"Chien-Liang Chiu","raw_affiliation_strings":["Department of Banking and Finance, Tamkang University, Taipei County, Taiwan, ROC"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Banking and Finance, Tamkang University, Taipei County, Taiwan, ROC","institution_ids":["https://openalex.org/I107470533"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5081043514"],"corresponding_institution_ids":["https://openalex.org/I107470533"],"apc_list":{"value":4280,"currency":"USD","value_usd":4280},"apc_paid":null,"fwci":5.0147,"has_fulltext":false,"cited_by_count":24,"citation_normalized_percentile":{"value":0.94978503,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"33","issue":"2","first_page":"264","last_page":"272"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.8598999977111816,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.8598999977111816,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.12489999830722809,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12276","display_name":"Risk Management in Financial Firms","score":0.0031999999191612005,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/value-at-risk","display_name":"value at risk","score":0.9850000143051147},{"id":"https://openalex.org/keywords/dynamic-portfolio-optimization","display_name":"dynamic portfolio optimization","score":0.6359999775886536},{"id":"https://openalex.org/keywords/corn-futures","display_name":"corn futures","score":0.46399998664855957},{"id":"https://openalex.org/keywords/soybean-futures","display_name":"soybean futures","score":0.9900000095367432},{"id":"https://openalex.org/keywords/oil-prices","display_name":"oil prices","score":0.7210000157356262},{"id":"https://openalex.org/keywords/jump-risk","display_name":"jump risk","score":0.8519999980926514},{"id":"https://openalex.org/keywords/garch-1-1-model","display_name":"GARCH(1,1)","score":0.9129999876022339},{"id":"https://openalex.org/keywords/hedging","display_name":"hedging","score":0.7020000219345093},{"id":"https://openalex.org/keywords/risk-management","display_name":"risk management","score":0.6159999966621399}],"concepts":[{"id":"https://openalex.org/C53991642","wikidata":"https://www.wikidata.org/wiki/Q128991","display_name":"Biofuel","level":2,"score":0.7828836441040039},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6764097213745117},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6661123633384705},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6433776617050171},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.548302948474884},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.4800787568092346},{"id":"https://openalex.org/C548895740","wikidata":"https://www.wikidata.org/wiki/Q22656","display_name":"Petroleum","level":2,"score":0.473747581243515},{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.4729865789413452},{"id":"https://openalex.org/C188573790","wikidata":"https://www.wikidata.org/wiki/Q12705","display_name":"Renewable energy","level":2,"score":0.44468605518341064},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.4107341170310974},{"id":"https://openalex.org/C52896960","wikidata":"https://www.wikidata.org/wiki/Q167947","display_name":"Biodiesel","level":3,"score":0.41014382243156433},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3577217757701874},{"id":"https://openalex.org/C150903083","wikidata":"https://www.wikidata.org/wiki/Q7108","display_name":"Biotechnology","level":1,"score":0.10930570960044861},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.10158595442771912},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.0930020809173584},{"id":"https://openalex.org/C161790260","wikidata":"https://www.wikidata.org/wiki/Q82264","display_name":"Catalysis","level":2,"score":0.0},{"id":"https://openalex.org/C119599485","wikidata":"https://www.wikidata.org/wiki/Q43035","display_name":"Electrical engineering","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C185592680","wikidata":"https://www.wikidata.org/wiki/Q2329","display_name":"Chemistry","level":0,"score":0.0},{"id":"https://openalex.org/C55493867","wikidata":"https://www.wikidata.org/wiki/Q7094","display_name":"Biochemistry","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1016/j.eneco.2010.11.002","doi":"https://doi.org/10.1016/j.eneco.2010.11.002","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.eneco.2010.11.002","pdf_url":null,"source":{"id":"https://openalex.org/S94499970","display_name":"Energy Economics","issn_l":"0140-9883","issn":["0140-9883","1873-6181"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","fnege-2","jufo-1","norway-1","poland-200","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Energy Economics","raw_type":"journal-article"},{"id":"pmh:oai:tkuir.lib.tku.edu.tw:987654321/58444","doi":null,"is_oa":false,"landing_page_url":"https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/58444","pdf_url":null,"source":{"id":"https://openalex.org/S4406922698","display_name":"Tamkang University Institutional Repository (TKUIR)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":null},{"id":"pmh:oai:RePEc:eee:eneeco:v:33:y:2011:i:2:p:264-272","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S0140-9883(10)00189-1","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/7","display_name":"Affordable and clean energy","score":0.75},{"id":"https://metadata.un.org/sdg/13","display_name":"Climate action","score":0.685699999332428},{"id":"https://metadata.un.org/sdg/2","display_name":"Zero hunger","score":0.40450000762939453}],"sustainable_development_goals_aurora":[{"id":"https://metadata.un.org/sdg/7","display_name":"Affordable and clean energy","score":0.699999988079071}],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":25,"referenced_works":["https://openalex.org/W1516216243","https://openalex.org/W1574366603","https://openalex.org/W1977970167","https://openalex.org/W1979575715","https://openalex.org/W1980133098","https://openalex.org/W1994401197","https://openalex.org/W1996159958","https://openalex.org/W1999996900","https://openalex.org/W2001477640","https://openalex.org/W2003120458","https://openalex.org/W2020439483","https://openalex.org/W2061424083","https://openalex.org/W2062776468","https://openalex.org/W2063750298","https://openalex.org/W2074924028","https://openalex.org/W2084288278","https://openalex.org/W2097914681","https://openalex.org/W2100406142","https://openalex.org/W2101648733","https://openalex.org/W2115865827","https://openalex.org/W2119874754","https://openalex.org/W2151065060","https://openalex.org/W2158580072","https://openalex.org/W4285719527","https://openalex.org/W4289256118"],"related_works":["https://openalex.org/W7111847991","https://openalex.org/W2912885769","https://openalex.org/W2922633229","https://openalex.org/W2131226926","https://openalex.org/W1654091908","https://openalex.org/W2071885457","https://openalex.org/W2179585683","https://openalex.org/W4225906989","https://openalex.org/W2754836513","https://openalex.org/W7113564654"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":2},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":2},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":3},{"year":2013,"cited_by_count":4},{"year":2012,"cited_by_count":4}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2016-06-24T00:00:00"}