Portfolio optimization of energy commodity futures returns with minimum information copula

• المؤلفون الرئيسيون: Payap Tarkhamtham, Jirakom Sirisrisakulchai, Roengchai Tansuchat
• التنسيق: دورية
• منشور في: 2018
• الموضوعات: Mathematics; Agricultural and Biological Sciences
• الوصول للمادة أونلاين: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85039716966&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/43710

© 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...