Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model.

Xunfa Lu Kin Keung Lai Liang Liang

Published in: Ann. Oper. Res. (2014)

Keyphrases

spot market
garch model
stock market
portfolio optimization
investment strategies
financial markets
power generation
semi parametric
market data
portfolio management
sar images
portfolio selection
risk management
stock exchange
investment decisions
multivariate time series
stock price
market share