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Hedging strategy for ethanol processing with copula distributions
Awudu, Iddrisu; Wilson, William W.; Dahl, Bruce L. - In: Energy economics 57 (2016), pp. 59-65
Persistent link: https://www.econbiz.de/10011698281
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Credit and market risks measurement in carbon financing for Chinese banks
Zhang, Xi; Li, Jian - In: Energy economics 76 (2018), pp. 549-557
Persistent link: https://www.econbiz.de/10011976726
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Oil and foreign exchange market tail dependence and risk spillovers for MENA, emerging and developed countries: VMD decomposition based copulas
Mensi, Walid; Hammoudeh, Shawkat; Shahzad, Syed Jawad … - In: Energy economics 67 (2017), pp. 476-495
Persistent link: https://www.econbiz.de/10011897955
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Diversifying portfolios of U.S. stocks with crude oil and natural gas : a regime-dependent optimization with several risk measures
Gatfaoui, Hayette - In: Energy economics 80 (2019), pp. 132-152
Persistent link: https://www.econbiz.de/10012172340
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Risk spillovers in oil-related CDS, stock and credit markets
Hammoudeh, Shawkat; Liu, Tengdong; Chang, Chia-Lin; … - In: Energy economics 36 (2013), pp. 526-535
Persistent link: https://www.econbiz.de/10009724647
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Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan - In: Journal of econometrics 217 (2020) 2, pp. 335-355
Persistent link: https://www.econbiz.de/10012482776
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PELVE : probability equivalent level of VaR and ES
Li, Hengxin; Wang, Ruodu - In: Journal of econometrics 234 (2023) 1, pp. 353-370
Persistent link: https://www.econbiz.de/10014364915
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Risk-parameter estimation in volatility models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 184 (2015) 1, pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
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Value-at-Risk estimation of energy commodities : a long-memory GARCH-EVT approach
Youssef, Manel; Belkacem, Lotfi; Mokni, Khaled - In: Energy economics 51 (2015), pp. 99-110
Persistent link: https://www.econbiz.de/10011564809
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A stochastic dominance approach to financial risk management strategies
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - In: Journal of econometrics 187 (2015) 2, pp. 472-485
Persistent link: https://www.econbiz.de/10011499744