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

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...

Full description

Saved in:
Bibliographic Details
Main Authors: Jiechen Tang, Chao Zhou, Xinyu Yuan, Songsak Sriboonchitta
Format: Article
Language:English
Published: Wiley 2015-01-01
Series:The Scientific World Journal
Online Access:http://dx.doi.org/10.1155/2015/125958
Tags: Add Tag
No Tags, Be the first to tag this record!

Similar Items

Similar Items