Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model (Q475247)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model |
scientific article; zbMATH DE number 6374093
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model |
scientific article; zbMATH DE number 6374093 |
Statements
Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model (English)
0 references
26 November 2014
0 references
risk management
0 references
copulas
0 references
value-at-risk
0 references
time-varying models
0 references
backtesting
0 references
0 references
