Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model (Q475247): Difference between revisions

From MaRDI portal
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
 
(2 intermediate revisions by 2 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1007/s10479-011-0900-9 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2010030603 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4769776 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3412547 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3855979 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Remarks on a Multivariate Transformation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Goodness-of-fit tests for copulas / rank
 
Normal rank
Property / cites work
 
Property / cites work: Goodness-of-fit tests for copulas: A review and a power study / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive Conditional Density Estimation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bayesian copula selection / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4382161 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5706744 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimating the dimension of a model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3281461 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic models for risk estimation in volatile markets: a survey / rank
 
Normal rank

Latest revision as of 09:12, 9 July 2024

scientific article
Language Label Description Also known as
English
Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model
scientific article

    Statements

    Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model (English)
    0 references
    0 references
    0 references
    0 references
    26 November 2014
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    risk management
    0 references
    copulas
    0 references
    value-at-risk
    0 references
    time-varying models
    0 references
    backtesting
    0 references
    0 references