Measuring tail risk with GAS time varying copula, fat tailed GARCH model and hedging for crude oil futures
Xiao-Li Gong, Xi-Hua Liu, Xiong Xiong
| Year of publication: |
2019
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|---|---|
| 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
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| Subject: | Dynamic hedging | Expected shortfall | Generalized autoregressive score | Skew distribution | Tail risk | Time varying copula | ARCH-Modell | ARCH model | Hedging | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Multivariate Verteilung | Multivariate distribution | Risikomanagement | Risk management | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Schätzung | Estimation | Rohstoffderivat | Commodity derivative | Kapitaleinkommen | Capital income | Ausreißer | Outliers | Erdöl | Petroleum | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.pacfin.2019.03.010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012169513