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Selection of value at risk models for energy commodities
Laporta, Alessandro G.; Merlo, Luca; Petrella, Lea - In: Energy economics 74 (2018), pp. 628-643
Persistent link: https://www.econbiz.de/10011972948
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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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Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management
Aloui, Riadh; Ben Aïssa, Mohamed Safouane; Hammoudeh, … - In: Energy economics 42 (2014), pp. 332-342
Persistent link: https://www.econbiz.de/10010503584
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Tail risk of electricity futures
Peña Sánchez de Rivera, Juan Ignacio; Rodríguez, Rosa; … - In: Energy economics 91 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012518716
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Risk spillover between energy and agricultural commodity markets : a dependence-switching CoVaR-copula model
Ji, Qiang; Bouri, Elie; Roubaud, David; Shahzad, Syed … - In: Energy economics 75 (2018), pp. 14-27
Persistent link: https://www.econbiz.de/10011973850
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Hedging downside risk of oil refineries : a vine copula approach
Sukcharoen, Kunlapath; Leatham, David J. - In: Energy economics 66 (2017), pp. 493-507
Persistent link: https://www.econbiz.de/10011896556
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Modeling extreme risk spillovers between crude oil and Chinese energy futures markets
Ren, Xiaohang; Li, Yiying; Sun, Xianming; Bu, Ruijun; … - In: Energy economics 126 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014483599
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Forecasting petroleum futures markets volatility : the role of regimes and market conditions
Nomikos, Nikos K.; Pouliasis, Panos K. - In: Energy economics 33 (2011) 2, pp. 321-337
Persistent link: https://www.econbiz.de/10009261828
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The relationship between energy and equity markets : evidence from volatility impulse response functions
Olson, Eric; Vivian, Andrew J.; Wohar, Mark E. - In: Energy economics 43 (2014), pp. 297-305
Persistent link: https://www.econbiz.de/10010504812
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Modelling the general dependence between commodity forward curves
Zolotko, Mikhail; Okhrin, Ostap - In: Energy economics 43 (2014), pp. 284-296
Persistent link: https://www.econbiz.de/10010504813