Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model
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Publication:475247
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Cites work
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- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- Autoregressive Conditional Density Estimation
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Bayesian copula selection
- Estimating the dimension of a model
- Goodness-of-fit tests for copulas
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- Remarks on a Multivariate Transformation
- Stochastic models for risk estimation in volatile markets: a survey
Cited in
(32)- 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
- Economic forecasting based on copula quantile curves and beliefs
- Forecasting portfolio-value-at-risk with mixed factorial hidden Markov models
- Portfolio stress testing applied to commodity futures
- 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
- Risk management for crude oil futures: an optimal stopping-timing approach
- Portfolio optimization of financial commodities with energy futures
- Estimation of risk measures in energy portfolios using modern copula techniques
- Multivariate dependence analysis via tree copula models: an application to one-year forward energy contracts
- Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics
- An energy-based measure for long-run horizon risk quantification
- Risk estimation in exchange rate markets based on stochastic copula approach
- Is CSR linked to Idiosyncratic risk? Evidence from the copula approach
- Portfolio optimization of energy commodity futures returns with minimum information copula
- 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
- Performance replication of the spot energy index with optimal equity portfolio selection: evidence from the UK, US and Brazilian markets
- Forecasting dependent tail value-at-risk by ARMA-GJR-GARCH-copula method and its application in energy risk
- On the relationship between oil and gas markets: a new forecasting framework based on a machine learning approach
- On Chinese stock markets: how have they evolved over time?
- Analysis of portfolio VaR by pair copula-LMSV-t
- Modeling dynamic dependence between crude oil and natural gas return rates: a time-varying geometric copula approach
- Long memory and regime switching in the stochastic volatility modelling
- Using conditional copula to estimate value-at-risk in Vietnam's foreign exchange market
- Dependence between oil and commodities markets using time-varying Archimedean copulas and effectiveness of hedging strategies
- Empirical evidence linking futures price movements of biofuel crops and conventional energy fuel
- The effects of misspecified marginals and copulas on computing the value at risk: a Monte Carlo study
- 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
- Copula-based risk management models for multivariable RMB exchange rate in the process of RMB internationalization
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