Forecasting dependent tail value-at-risk by ARMA-GJR-GARCH-copula method and its application in energy risk
From MaRDI portal
(Redirected from Publication:6154768)
Characterization and structure theory for multivariate probability distributions; copulas (62H05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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
Cites work
- A multivariate tail covariance measure for elliptical distributions
- Characterizing optimal allocations in quantile-based risk sharing
- Copula conditional tail expectation for multivariate financial risks
- Empirical properties of asset returns: stylized facts and statistical issues
- Estimating value at risk of portfolio by conditional copula-GARCH method
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 3457895 (Why is no real title available?)
- scientific article; zbMATH DE number 5223072 (Why is no real title available?)
- Mixed value-at-risk and its numerical investigation
- Multivariate Fréchet copulas and conditional value-at-risk
- 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)
