Measuring tail risk with GAS time varying copula, fat tailed GARCH model and hedging for crude oil futures
Year of publication: |
2019
|
---|---|
Authors: | Gong, Xiao-Li ; Liu, Xi-Hua ; Xiong, Xiong |
Published in: |
Pacific-Basin finance journal. - Amsterdam [u.a.] : Elsevier, ISSN 0927-538X, ZDB-ID 1343420-2. - Vol. 55.2019, p. 95-109
|
Subject: | Dynamic hedging | Expected shortfall | Generalized autoregressive score | Skew distribution | Tail risk | Time varying copula | Hedging | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Multivariate Verteilung | Multivariate distribution | Risikomanagement | Risk management | Schätzung | Estimation | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Theorie | Theory | Rohstoffderivat | Commodity derivative | Erdöl | Petroleum | Kapitaleinkommen | Capital income |
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