Estimation of risk measures in energy portfolios using modern copula techniques

DOI10.1016/J.CSDA.2014.01.019zbMath1506.62087OpenAlexW2162859039MaRDI QIDQ1623536

Stefan R. Jaschke

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2003/29691

zbMATH Keywords

goodness-of-fit testsrisk measuresbacktestingtail copulascrude oiljoint dynamics

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32)

Related Items (4)

Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems ⋮ Nonparametric tests for constant tail dependence with an application to energy and finance ⋮ Multivariate dependence analysis via tree copula models: an application to one-year forward energy contracts ⋮ Oil price and FX-rates dependency

Uses Software

• copula
• TwoCop
• Rugarch
• copula

Cites Work

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• Order Statistics of Samples from Multivariate Distributions
• The Copula Information Criteria

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