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Revisiting value-at-risk and expected shortfall in oil markets under structural breaks : the role of fat-tailed distributions
Patra, Saswat - In: Energy economics 101 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10013161743
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Electricity pricing using a periodic GARCH model with conditional skewness and kurtosis components
Ioannidis, Filippos; Kosmidou, Kyriaki; Savva, Christos; … - In: Energy economics 95 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10012816560
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Forecasting volatility in the biofuel feedstock markets in the presence of structural breaks : a comparison of alternative distribution functions
Hasanov, Akram Shavkatovich; Poon, Wai Ching; … - In: Energy economics 70 (2018), pp. 307-333
Persistent link: https://www.econbiz.de/10011942743
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Forecasting the VaR of crude oil market: do alternative distributions help?
Lyu, Yongjian; Wang, Peng; Wei, Yu; Ke, Rui - In: Energy economics 66 (2017), pp. 523-534
Persistent link: https://www.econbiz.de/10011896562
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Extreme co-movements between infectious disease events and crude oil futures prices : from extreme value analysis perspective
Lin, Hang; Zhang, Zhengjun - In: Energy economics 110 (2022), pp. 1-14
Persistent link: https://www.econbiz.de/10013349928
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Research on tail risk contagion in international energy markets : the quantile time-frequency volatility spillover perspective
Gong, Xiao-Li; Zhao, Min; Wu, Zhuo-Cheng; Jia, Kai-Wen; … - In: Energy economics 121 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014438765
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A critical view on temperature modelling for application in weather derivatives markets
Saltyte Benth, Jurate; Benth, Fred Espen - In: Energy economics 34 (2012) 2, pp. 592-602
Persistent link: https://www.econbiz.de/10009618677
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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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A regime-switching copula approach to modeling day-ahead prices in coupled electricity markets
Pircalabu, Anca; Benth, Fred Espen - In: Energy economics 68 (2017), pp. 283-302
Persistent link: https://www.econbiz.de/10011905725
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Using nonparametric copulas to measure crude oil price co-movements
Ho, Anson T. Y.; Huynh, Kim P.; Jacho-Chávez, David Tomás - In: Energy economics 82 (2019), pp. 211-223
Persistent link: https://www.econbiz.de/10012173921