Modelling general dependence between commodity forward curves
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Keywordscommodity forward curves; multivariate GARCH; hierarchical Archimedean copula; Value-at-Risk;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-10-20 (All new papers)
- NEP-ECM-2012-10-20 (Econometrics)
- NEP-FOR-2012-10-20 (Forecasting)
- NEP-RMG-2012-10-20 (Risk Management)
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