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Multivariate dynamic Copula models : parameter estimation and forecast evaluation

Aepli, Matthias Daniel; Frauendorfer, Karl; Füss, Roland; … - 2015 - This version: June 2015

This paper examines the time-varying dependence structure of commodity futures portfolios based on multivariate dynamic copula models. The importance of accounting for time-variation is emphasized in the context of the Basel traffic light system. We enhance the exibility of this structure by...

Persistent link: https://www.econbiz.de/10011344180

Oil-gas price relationships on three continents : disruptions and equilibria

Halser, Christoph; Paraschiv, Florentina; Russo, Marianna - In: Journal of commodity markets 31 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014477798

Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework

Benth, Fred Espen - In: Advanced modelling in mathematical finance : in honour …, (pp. 477-496). 2016

Persistent link: https://www.econbiz.de/10011800392

Pricing of temperature index insurance

Che Taib, Che Mohd Imran; Benth, Fred Espen - In: Review of development finance 2 (2012) 1, pp. 22-31

Persistent link: https://www.econbiz.de/10009579935

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

Forward prices in markets driven by continuous-time autoregressive processes

Benth, Fred Espen; Blanco, Ana Solanilla - In: Recent advances in financial engineering 2012 : …, (pp. 1-24). 2014

Persistent link: https://www.econbiz.de/10010359912

On the speed towards the mean for continuous time autoregressive moving average processes with applications to energy markets

Benth, Fred Espen; Che Mohd Imran Che Taib - In: Energy economics 40 (2013), pp. 259-268

Persistent link: https://www.econbiz.de/10010349561

Futures pricing in electricity markets based on stable CARMA spot models

Benth, Fred Espen; Klüppelberg, Claudia; Müller, Gernot; … - In: Energy economics 44 (2014), pp. 392-406

Persistent link: https://www.econbiz.de/10010457150

Forward prices as functionals of the spot path in commodity markets modeled by Lévy semistationary processes

Benth, Fred Espen; Blanco, Sara Ana Solanilla - In: International journal of theoretical and applied finance 18 (2015) 2, pp. 1-35

Persistent link: https://www.econbiz.de/10011403202

Stochastic dynamical modelling of spot freight rates

Benth, Fred Espen; Koekebakker, Steen; Taib, Che Mohd … - In: IMA journal of management mathematics 26 (2015) 3, pp. 273-297

Persistent link: https://www.econbiz.de/10011405425