Measuring extreme risk dependence between the oil and gas markets

DOI10.1007/S10479-020-03796-1zbMath1494.91178OpenAlexW3097323204MaRDI QIDQ2151640

Fredj Jawadi, Zied Ftiti, Hachmi Ben Ameur, Wael Louhichi

Publication date: 5 July 2022

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-020-03796-1

zbMATH Keywords

systemic riskintraday dataVaRdynamic copulacoVaR

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Modelling extreme risk spillovers in the commodity markets around crisis periods including COVID19 ⋮ Practice-relevant model validation: distributional parameter risk analysis in financial model risk management

Cites Work

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• A review of copula models for economic time series
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• On the relationship between oil and gas markets: a new forecasting framework based on a machine learning approach
• Regression Quantiles
• Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models

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