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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| Main Authors: | , , , |
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| Format: | Journal |
| Published: |
2018
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| Subjects: | |
| 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 |