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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| 格式: | 雜誌 |
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2018
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| 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 |
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