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ArticleEnergy portfolio risk management using time-varying extreme value copula methods

Abdelwahed Trabelsi2014

Article2014

Energy portfolio risk management using time-varying extreme value copula methods

Abdelwahed Trabelsi

70 citations·0/0 files stored·Economic Modelling

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Financial Risk and Volatility Modeling Market Dynamics and Volatility Risk and Portfolio Optimization

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References

1986Generalized autoregressive conditional heteroskedasticity 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1999An Introduction to Copulas 1995Multivariate Simultaneous Generalized ARCH 1994Modelling of extremal events in insurance and finance 1998Evaluating Interval Forecasts 1995Techniques for Verifying the Accuracy of Risk Measurement Models 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity

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Year2014

Typearticle

Published2014-02-01

VenueEconomic Modelling

ISSN-L0264-9993

Languageen

Citations70

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.econmod.2013.12.023

openalex_workW1978246203

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2019Risk forecasting in the crude oil market: A multiscale Convolutional Neural Network approach

2017Are Vietnam and Chinese stock markets out of the US contagion effect in extreme events?