Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model (Q475247): Difference between revisions
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Revision as of 21:42, 19 March 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)
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26 November 2014
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risk management
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copulas
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value-at-risk
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time-varying models
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backtesting
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