Estimating Risk of Natural Gas Portfolios by Using GARCH-EVT-Copula Model

Estimating Risk of Natural Gas Portfolios by Using GARCH-EVT-Copula Model

© 2015 Jiechen Tang et al. This paper concentrates on estimating the risk of Title Transfer Facility (TTF) Hub natural gas portfolios by using the GARCH-EVT-copula model. We first use the univariate ARMA-GARCH model to model each natural gas return series. Second, the extreme value distribution (EVT...

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Bibliographic Details
Main Authors: Jiechen Tang, Chao Zhou, Xinyu Yuan, Songsak Sriboonchitta
Format: Journal
Published: 2018
Subjects:
Biochemistry, Genetics and Molecular Biology
Environmental Science
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84940369661&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/54197
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Institution: Chiang Mai University

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https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84940369661&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/54197

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