Estimating risk of natural gas portfolios by using GARCH-EVT-Copula model
© 2014 Jiechen Tang et al. This paper concentrates on estimating the risk of Title Transfer Facility (TTF) Hub natural gas portfolios by using the GARCHEVT-copula model.We first use the univariate ARMA-GARCH model tomodel each natural gas return series. Second, the extreme value distribution (EVT) i...
Saved in:
| Main Authors: | , , , |
|---|---|
| Format: | Journal |
| Published: |
2018
|
| Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84927536659&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/45676 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Chiang Mai University |