Energy portfolio risk management using time-varying copula methods : application to bonds, interest rate and VIX
Samar Zlitni Abdelkafi and Ahmed Ghorbel, Walid Khoufi
| Year of publication: |
2018
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|---|---|
| Authors: | Abdelkafi, Samar Zlitni ; Ghorbel, Ahmed ; Khoufi, Walid |
| Published in: |
American journal of finance and accounting. - Genève : Inderscience Enterprises Ltd., ISSN 1752-7767, ZDB-ID 2449731-9. - Vol. 5.2018, 4, p. 371-393
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| Subject: | energy sector | risk management | copula | hedge | safe haven | crises | bonds | interest rate | VIX | Risikomanagement | Risk management | Hedging | Multivariate Verteilung | Multivariate distribution | Energiewirtschaft | Energy sector | Portfolio-Management | Portfolio selection | Anleihe | Bond | Volatilität | Volatility | Zins | Interest rate | Finanzkrise | Financial crisis | ARCH-Modell | ARCH model | Zinsstruktur | Yield curve |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011966860