Estimating risk of natural gas portfolios by using GARCH-EVT-Copula model

• المؤلفون الرئيسيون: Jiechen Tang, Chao Zhou, Xinyu Yuan, Songsak Sriboonchitta
• التنسيق: دورية
• منشور في: 2018
• الوصول للمادة أونلاين: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84927536659&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/45676

© 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...