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

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) is fitted to the tails of...

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Detalles Bibliográficos
Autores principales: Tang, Jiechen, Zhou, Chao, Yuan, Xinyu, Sriboonchitta, Songsak
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Hindawi Publishing Corporation 2015
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4550757/
https://www.ncbi.nlm.nih.gov/pubmed/26351652
http://dx.doi.org/10.1155/2015/125958

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