Estimation of risk measures in energy portfolios using modern copula techniques
From MaRDI portal
Publication:1623536
Recommendations
- Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model
- Using copulas to model dependence between crude oil prices of west Texas intermediate and Brent-Europe
- Modeling dynamic dependence between crude oil and natural gas return rates: a time-varying geometric copula approach
- Dependence between oil and commodities markets using time-varying Archimedean copulas and effectiveness of hedging strategies
- Portfolio optimization of energy commodity futures returns with minimum information copula
Cites work
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 3820920 (Why is no real title available?)
- scientific article; zbMATH DE number 3656971 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- scientific article; zbMATH DE number 1780437 (Why is no real title available?)
- An introduction to copulas.
- Asymptotics of empirical copula processes under non-restrictive smoothness assumptions
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Best attainable rates of convergence for estimators of the stable tail dependence function
- Bivariate Logistic Distributions
- Bivariate extreme value theory: Models and estimation
- Bootstrap based goodness-of-fit-tests
- Comparison of three semiparametric methods for estimating dependence parameters in copula models
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Estimating the tail-dependence coefficient: properties and pitfalls
- Extreme value theory. An introduction.
- Goodness-of-fit tests for copulas: A review and a power study
- MAX-stable models for multivariate extremes
- Maxima of normal random vectors: Between independence and complete dependence
- Model Selection and Model Averaging
- Multiplier bootstrap of tail copulas with applications
- Non-parametric Estimation of Tail Dependence
- Order Statistics of Samples from Multivariate Distributions
- Testing for equality between two copulas
- The copula information criteria
- The t Copula and Related Copulas
- Trends and random walks in macroeconomic time series
- Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models
- Weighted approximations of tail copula processes with application to testing the bivariate extreme value condition
Cited in
(12)- Using copulas to model dependence between crude oil prices of west Texas intermediate and Brent-Europe
- Nonparametric tests for constant tail dependence with an application to energy and finance
- Modeling spot price dependence in Australian electricity markets with applications to risk management
- Univariate and multivariate value-at-risk: application and implication in energy markets
- Multivariate dependence analysis via tree copula models: an application to one-year forward energy contracts
- Oil price and FX-rates dependency
- An energy-based measure for long-run horizon risk quantification
- Portfolio optimization of energy commodity futures returns with minimum information copula
- Forecasting dependent tail value-at-risk by ARMA-GJR-GARCH-copula method and its application in energy risk
- Modelling oil and gas supply disruption risks using extreme-value theory and copula
- Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems
- Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model
This page was built for publication: Estimation of risk measures in energy portfolios using modern copula techniques
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1623536)
