Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model

DOI10.1007/S10479-011-0900-9zbMath1299.91175OpenAlexW2010030603MaRDI QIDQ475247

Xun Fa Lu, Liang Liang, Kin Keung Lai

Publication date: 26 November 2014

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

Full work available at URL: https://doi.org/10.1007/s10479-011-0900-9

zbMATH Keywords

copulasvalue-at-riskrisk managementtime-varying modelsbacktesting

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10)

Related Items (11)

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Uses Software

• QRM

Cites Work

• Goodness-of-fit tests for copulas: A review and a power study
• Goodness-of-fit tests for copulas
• Stochastic models for risk estimation in volatile markets: a survey
• Bayesian copula selection
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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Autoregressive Conditional Density Estimation
• Remarks on a Multivariate Transformation
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