Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model
From MaRDI portal
Publication:475247
DOI10.1007/S10479-011-0900-9zbMATH Open1299.91175OpenAlexW2010030603MaRDI QIDQ475247FDOQ475247
Authors: Xun Fa Lu, Liang Liang, Kin Keung Lai 
Publication date: 26 November 2014
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-011-0900-9
Recommendations
- Estimation of risk measures in energy portfolios using modern copula techniques
- Estimating value at risk of portfolio by conditional copula-GARCH method
- Portfolio optimization of energy commodity futures returns with minimum information copula
- Modeling dynamic dependence between crude oil and natural gas return rates: a time-varying geometric copula approach
- Using conditional copula to estimate value-at-risk in Vietnam's foreign exchange market
Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)
Cites Work
- Goodness-of-fit tests for copulas: A review and a power study
- Title not available (Why is that?)
- Estimating the dimension of a model
- Title not available (Why is that?)
- Title not available (Why is that?)
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Title not available (Why is that?)
- Remarks on a Multivariate Transformation
- Title not available (Why is that?)
- Title not available (Why is that?)
- Goodness-of-fit tests for copulas
- Autoregressive Conditional Density Estimation
- Stochastic models for risk estimation in volatile markets: a survey
- Bayesian copula selection
Cited In (30)
- Dependence between oil and commodities markets using time-varying Archimedean copulas and effectiveness of hedging strategies
- The effects of misspecified marginals and copulas on computing the value at risk: a Monte Carlo study
- Multivariate dependence analysis via tree copula models: an application to one-year forward energy contracts
- Modeling dynamic dependence between crude oil and natural gas return rates: a time-varying geometric copula approach
- A simulation study on the Markov regime-switching zero-drift GARCH model
- Modelling extreme risk spillovers in the commodity markets around crisis periods including COVID19
- On Chinese stock markets: how have they evolved over time?
- Empirical evidence linking futures price movements of biofuel crops and conventional energy fuel
- Long memory and regime switching in the stochastic volatility modelling
- Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems
- An application of copulas to OPEC’s changing influence on fossil fuel prices
- Analysis of portfolio VaR by pair copula-LMSV-t
- Portfolio optimization of energy commodity futures returns with minimum information copula
- Univariate and multivariate value-at-risk: application and implication in energy markets
- Risk management for crude oil futures: an optimal stopping-timing approach
- Portfolio optimization of financial commodities with energy futures
- An energy-based measure for long-run horizon risk quantification
- On the relationship between oil and gas markets: a new forecasting framework based on a machine learning approach
- Forecasting portfolio-value-at-risk with mixed factorial hidden Markov models
- Modeling spot price dependence in Australian electricity markets with applications to risk management
- An investigation on the relationship between return and trading volume: asymmetric V-type or asymmetric increasing-type pattern
- Estimating value at risk of portfolio by conditional copula-GARCH method
- Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics
- Economic forecasting based on copula quantile curves and beliefs
- Using conditional copula to estimate value-at-risk in Vietnam's foreign exchange market
- Risk estimation in exchange rate markets based on stochastic copula approach
- Is CSR linked to Idiosyncratic risk? Evidence from the copula approach
- Performance replication of the spot energy index with optimal equity portfolio selection: evidence from the UK, US and Brazilian markets
- Estimation of risk measures in energy portfolios using modern copula techniques
- Copula-based risk management models for multivariable RMB exchange rate in the process of RMB internationalization
Uses Software
This page was built for publication: Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q475247)
