Tail risk in energy portfolios-Reference-Cited by-同舟云学术

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Tail risk in energy portfolios

Published:2014-11 Issue: Volume:46 Page:422-434
ISSN:0140-9883
Container-title:Energy Economics
language:en
Short-container-title:Energy Economics

Author:

González-Pedraz Carlos,Moreno Manuel,Peña Juan Ignacio

Publisher

Elsevier BV

Subject

General Energy,Economics and Econometrics

Reference31 articles.

1. The generalized hyperbolic skew Student's t-distribution;Aas;J. Financ. Econ.,2006

2. Coherent risk measures;Artzner;Math. Financ.,1999

3. The normal inverse Gaussian distribution and spot price modelling in energy markets;Benth;Int. J. Theor. Appl. Finance,2004

4. Stochastic Modelling of Electricity and Related Markets;Benth,2008

5. Hyperbolic processes in finance;Bibby,2003

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