How to hedge extreme risk of natural gas in multivariate semiparametric value-at-risk portfolio?
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DOI: 10.15240/tul/001/2023-3-008
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More about this item
Keywords
Extreme risk of gas; minimum VaR and mVaR portfolio optimisation; DECO-DCC-GJR-GARCH model;All these keywords.
JEL classification:
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
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