Modelling the general dependence between commodity forward curves
Year of publication: |
2014
|
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Authors: | Zolotko, Mikhail ; Okhrin, Ostap |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 43.2014, p. 284-296
|
Subject: | Commodity forward curves | Multivariate GARCH | Hierarchical Archimedean copula | Value-at-risk | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | ARCH-Modell | ARCH model | Rohstoffderivat | Commodity derivative | Risikomaß | Risk measure |
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