Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model (Q475247)
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scientific article; zbMATH DE number 6374093
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| English | Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model |
scientific article; zbMATH DE number 6374093 |
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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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0.8299945592880249
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0.8179880380630493
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0.7953820824623108
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0.7942652702331543
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0.7932921648025513
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