Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model
type: Item
instance of: scholarly article
title: Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model
zbMATH Open document ID: 1299.91175
author: Xun Fa Lu
author: Liang Liang
author: Kin Keung Lai
published in: Annals of Operations Research
publication date: 2014-11-26T00:00:00Z
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62H05
zbMATH DE Number: 6374093
zbMATH Keywords: risk management
zbMATH Keywords: copulas
zbMATH Keywords: value-at-risk
zbMATH Keywords: time-varying models
zbMATH Keywords: backtesting
describes a project that uses: QRM
MaRDI profile type: Publication
full work available at URL: s10479-011-0900-9
OpenAlex ID: W2010030603
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DOI: 10.1007/S10479-011-0900-9
description: scientific article; zbMATH DE number 6374093