Forecasting dependent tail value-at-risk by ARMA-GJR-GARCH-copula method and its application in energy risk
From MaRDI portal
Publication:6154768
DOI10.22342/JIMS.29.3.1451.382-407zbMATH Open1530.62032MaRDI QIDQ6154768FDOQ6154768
Authors:
Publication date: 16 February 2024
Recommendations
- Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model
- Estimation of risk measures in energy portfolios using modern copula techniques
- Estimating value at risk of portfolio by conditional copula-GARCH method
- Archimedean copulae for risk measurement
- Copula correlation analysis and risk measurement based on time-varying
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) 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)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Empirical properties of asset returns: stylized facts and statistical issues
- Multivariate Fréchet copulas and conditional value-at-risk
- Title not available (Why is that?)
- Estimating value at risk of portfolio by conditional copula-GARCH method
- Copula conditional tail expectation for multivariate financial risks
- Characterizing optimal allocations in quantile-based risk sharing
- Mixed value-at-risk and its numerical investigation
- A multivariate tail covariance measure for elliptical distributions
- Range value-at-risk bounds for unimodal distributions under partial information
This page was built for publication: Forecasting dependent tail value-at-risk by ARMA-GJR-GARCH-copula method and its application in energy risk
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6154768)
