Measuring portfolio risk of non-energy commodity using time-varying vine copula
Zeineb Attafi, Ahmed Ghorbel, Younes Boujelbene
| Year of publication: |
2019
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|---|---|
| Authors: | Attafi, Zeineb ; Ghorbel, Ahmed ; Boujelbene, Younes |
| Published in: |
International Journal of Financial Markets and Derivatives : IJFMD. - Genève [u.a.] : Inderscience Enterprises, ISSN 1756-7149, ZDB-ID 2545128-5. - Vol. 7.2019, 2, p. 163-190
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| Subject: | non-energy commodity | portfolio | vine copulas | value at risk | expected short-fall and risk management | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Risikomanagement | Risk management | Rohstoffderivat | Commodity derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1504/IJFMD.2019.104078 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012253560