کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5064562 | 1476720 | 2014 | 42 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Modelling the general dependence between commodity forward curves
ترجمه فارسی عنوان
مدل سازی وابستگی عمومی بین منحنی های پیشرو کالای
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی انرژی
انرژی (عمومی)
چکیده انگلیسی
This study proposes a novel framework for the joint modelling of commodity forward curves. Its key contribution is twofold. First, we introduce a family of dynamic conditional correlation models based on hierarchical Archimedean copulae (HAC-DCC), which are flexible but parsimonious instruments that capture a wide range of dynamic dependencies. Second, we apply these models in the context of commodity forward curves as part of the framework. An extensive Value-at-Risk analysis shows that certain HAC-DCC models consistently outperform other introduced benchmarks in terms of the preciseness of their out-of-sample distribution forecasts of the returns of various commodity futures portfolios. This shows that the proposed modelling framework, as one of its possible applications, can be a useful and convenient risk management tool.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Economics - Volume 43, May 2014, Pages 284-296
Journal: Energy Economics - Volume 43, May 2014, Pages 284-296
نویسندگان
Mikhail Zolotko, Ostap Okhrin,