Forecasting dependent tail value-at-risk by ARMA-GJR-GARCH-copula method and its application in energy risk (Q6154768)
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scientific article; zbMATH DE number 7805718
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| English | Forecasting dependent tail value-at-risk by ARMA-GJR-GARCH-copula method and its application in energy risk |
scientific article; zbMATH DE number 7805718 |
Statements
16 February 2024
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ARMA-GJR-GARCH
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copula
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DTVaR
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energy risk
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0.7949921488761902
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0.7587828636169434
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0.732805609703064
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0.7181284427642822
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0.7177268862724304
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