Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: Economic Modelling 38 (2014) C, pp. 470-485
This work is concerned with the statistical modeling of the dependence structure between three energy commodity markets (WTI crude oil, natural gas and heating oil) using the concept of copulas and proposes a method for estimating the Value at risk (VaR) of energy portfolio based on the...