Pages that link to "Item:Q475247"

The following pages link to Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model (Q475247):

Displaying 22 items.

• Modeling spot price dependence in Australian electricity markets with applications to risk management (Q342246) (← links)
• Estimating value at risk of portfolio by conditional copula-GARCH method (Q659148) (← links)
• The effects of misspecified marginals and copulas on computing the value at risk: a Monte Carlo study (Q961410) (← links)
• On Chinese stock markets: how have they evolved over time? (Q1621929) (← links)
• Estimation of risk measures in energy portfolios using modern copula techniques (Q1623536) (← links)
• Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems (Q1730697) (← links)
• Multivariate dependence analysis via tree copula models: an application to one-year forward energy contracts (Q1749519) (← links)
• Risk estimation in exchange rate markets based on stochastic copula approach (Q2088435) (← links)
• Risk management for crude oil futures: an optimal stopping-timing approach (Q2150832) (← links)
• Portfolio optimization of financial commodities with energy futures (Q2150875) (← links)
• On the relationship between oil and gas markets: a new forecasting framework based on a machine learning approach (Q2151655) (← links)
• An energy-based measure for long-run horizon risk quantification (Q2158627) (← links)
• Modeling dynamic dependence between crude oil and natural gas return rates: a time-varying geometric copula approach (Q2222183) (← links)
• Copula-based risk management models for multivariable RMB exchange rate in the process of RMB internationalization (Q2398848) (← links)
• Performance replication of the spot energy index with optimal equity portfolio selection: evidence from the UK, US and Brazilian markets (Q2514729) (← links)
• Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics (Q2520433) (← links)
• Long memory and regime switching in the stochastic volatility modelling (Q2678633) (← links)
• Univariate and Multivariate Value-at-Risk: Application and Implication in Energy Markets (Q3087577) (← links)
• Forecasting portfolio-Value-at-Risk with mixed factorial hidden Markov models (Q5147625) (← links)
• A simulation study on the Markov regime-switching zero-drift GARCH model (Q6148769) (← links)
• Modelling extreme risk spillovers in the commodity markets around crisis periods including COVID19 (Q6148794) (← links)
• Is CSR linked to Idiosyncratic risk? Evidence from the copula approach (Q6547081) (← links)