Multivariate dependence analysis via tree copula models: an application to one-year forward energy contracts

DOI10.1016/J.EJOR.2018.02.037zbMath1431.62585OpenAlexW2794259193MaRDI QIDQ1749519

Enrica Nicolino, Federico Bassetti, Claudia Tarantola, Maria Elena De Giuli

Publication date: 17 May 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11311/1061068

zbMATH Keywords

Bayesian analysisMarkov chain Monte Carlomultivariate analysisenergy marketcopula model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Bayesian inference (62F15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items (2)

A comparison of tail dependence estimators ⋮ Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems

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