Portfolio optimization of energy commodity futures returns with minimum information copula

Portfolio optimization of energy commodity futures returns with minimum information copula

© 2017 by the Mathematical Association of Thailand. All rights reserved. Energy commodity futures returns are modeled using GARCH and EGARCH processes. Their dependence structures are constructed from vine copula approach. Minimum information methods were applied to approximate bivariate copulas for...

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書目詳細資料
Main Authors:	Payap Tarkhamtham, Jirakom Sirisrisakulchai, Roengchai Tansuchat
格式:	雜誌
出版:	2018
主題:	Mathematics Agricultural and Biological Sciences
在線閱讀:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85039716966&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/43710
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Chiang Mai University

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