Estimation of risk measures in energy portfolios using modern copula techniques
DOI10.1016/J.CSDA.2014.01.019zbMATH Open1506.62087OpenAlexW2162859039MaRDI QIDQ1623536FDOQ1623536
Authors: Stefan R. Jaschke 
Publication date: 23 November 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2003/29691
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Computational methods for problems pertaining to statistics (62-08) Applications of statistics to economics (62P20) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
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Cited In (6)
- Multivariate dependence analysis via tree copula models: an application to one-year forward energy contracts
- Oil price and FX-rates dependency
- Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems
- Univariate and multivariate value-at-risk: application and implication in energy markets
- An energy-based measure for long-run horizon risk quantification
- Nonparametric tests for constant tail dependence with an application to energy and finance
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