Modelling asymmetric dependence using copula functions: An application to value-at-risk in the energy sector
Year of publication: |
2009
|
---|---|
Authors: | Bastianin, Andrea |
Publisher: |
Milano : Fondazione Eni Enrico Mattei (FEEM) |
Subject: | Copula functions | Forecasting | Value-At-Risk |
Series: | Nota di Lavoro ; 24.2009 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 644985410 [GVK] hdl:10419/53262 [Handle] |
Classification: | C32 - Time-Series Models ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; G17 - Financial Forecasting ; Q43 - Energy and the Macroeconomy |
Source: |
-
Bastianin, Andrea, (2009)
-
Bastianin, Andrea, (2009)
-
Bastianin, Andrea, (2013)
- More ...
-
Biofuels and food prices: Searching for the causal link
Bastianin, Andrea, (2013)
-
Food versus fuel: Causality and predictability in distribution
Bastianin, Andrea, (2013)
-
Economic Impacts of El NiƱo Southern Oscillation: Evidence from the Colombian Coffee Market
Bastianin, Andrea, (2016)
- More ...