Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model
Xun Fa Lu, Kin Keung Lai, Liang Liang
| Year of publication: |
2014
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|---|---|
| Authors: | Lu, Xun Fa ; Lai, Kin Keung ; Liang, Liang |
| Published in: |
Methods and applications in natural resources management. - New York, NY : Springer. - 2014, p. 333-357
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| Subject: | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Theorie | Theory | Rohstoffderivat | Commodity derivative | Hedging |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010391496