Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model
Year of publication: |
2014
|
---|---|
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
|
Subject: | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Rohstoffderivat | Commodity derivative | ARCH-Modell | ARCH model | Theorie | Theory | Volatilität | Volatility |
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