Energy portfolio risk management using time-varying extreme value copula methods
Ahmed Ghorbel; Abdelwahed Trabelsi
| Year of publication: |
2014
|
|---|---|
| Authors: | Ghorbel, Ahmed ; Trabelsi, Abdelwahed |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 38.2014, p. 470-485
|
| Subject: | FIGARCH | Copulas | Extreme value theory | Value-at-Risk | Energy portfolio | Oil and gas futures prices | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Ausreißer | Outliers | ARCH-Modell | ARCH model | Rohstoffderivat | Commodity derivative | Volatilität | Volatility | Energie | Energy |
| Extent: | graph. Darst. |
|---|---|
| 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/10010419011