Estimation of risk measures in energy portfolios using modern copula techniques

The dependence structure between WTI and Brent crude oil spot log-returns is analysed using modern copula techniques. In a first step, to account for autocorrelation and volatility clustering in the marginals, several single equation models are applied. Second, to select both copulas and tail copula...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Computational statistics & data analysis 2014-08, Vol.76, p.359-376
1. Verfasser:	Jaeschke, Stefan
Format:	Artikel
Sprache:	eng
Schlagworte:	Backtesting Crude oil Data processing Dynamic tests Goodness-of-fit tests Joint dynamics Mathematical analysis Mathematical models Risk Risk measures Statistics Tail copulas Time series Volatility
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!