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ArticleTail risk in energy portfolios

Carlos González-Pedraz2014

Article2014

Tail risk in energy portfolios

Carlos González-Pedraz · Manuel Moreno · Juan Ignacio Peña

40 citations·0/0 files stored·Energy Economics

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

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References

1999Coherent Measures of Risk 1998Evaluating Interval Forecasts 1995Techniques for Verifying the Accuracy of Risk Measurement Models 2005Quantitative Risk Management: Concepts, Techniques, and Tools 2006Quantitative Risk Management: Concepts, Techniques, and Tools 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach

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2023Research on tail risk contagion in international energy markets—The quantile time-frequency volatility spillover perspective 2017Can stock market investors hedge energy risk? Evidence from Asia 2019Time-varying energy and stock market integration in Asia

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Year2014

Typearticle

Published2014-06-06

VenueEnergy Economics

ISSN-L0140-9883

Languageen

Citations40

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.eneco.2014.05.004

openalex_workW3125106918

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