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Estimating Risk of Natural Gas Portfolios by Using GARCH-EVT-Copula Model
This paper concentrates on estimating the risk of Title Transfer Facility (TTF) Hub natural gas portfolios by using the GARCH-EVT-copula model. We first use the univariate ARMA-GARCH model to model each natural gas return series. Second, the extreme value distribution (EVT) is fitted to the tails of...
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| Publicado no: | ScientificWorldJournal |
|---|---|
| Main Authors: | , , , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Hindawi Publishing Corporation
2015
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC4550757/ https://ncbi.nlm.nih.gov/pubmed/26351652 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1155/2015/125958 |
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