Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model-Reference-Cited by-同舟云学术

Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model

Published:2011-05-17 Issue:1 Volume:219 Page:333-357
ISSN:0254-5330
Container-title:Annals of Operations Research
language:en
Short-container-title:Ann Oper Res

Author:

Lu Xun Fa,Lai Kin Keung,Liang Liang

Publisher

Springer Science and Business Media LLC

Subject

Management Science and Operations Research,General Decision Sciences

Link

http://link.springer.com/content/pdf/10.1007/s10479-011-0900-9.pdf

Reference44 articles.

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2. Ang, A., & Chen, J. (2002). Asymmetric correlations of equity portfolios. The Review of Financial Studies, 63, 443–494.

3. Bastianin, A. (2009). Modelling asymmetric dependence using copula functions: an application to value-at-risk in the energy sector. FEEM Working Paper.

4. Berg, D., & Bakken, H. (2006). Copula goodness-of-fit tests: a comparative study. Working Paper.

5. Blanco, C., & Ihle, G. (1999). How good is your VaR? using backtesting to assess system performance. Financial Engineering News, 1–2.

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