Estimation of risk measures in energy portfolios using modern copula techniques

Stefan Jäschke

Computational Statistics & Data Analysis, 2014, vol. 76, issue C, 359-376

Abstract: The dependence structure between WTI and Brent crude oil spot log-returns is analysed using modern copula techniques. In a first step, to account for autocorrelation and volatility clustering in the marginals, several single equation models are applied. Second, to select both copulas and tail copulas characterising the joint dynamics between the time series, newly introduced bootstrap-based goodness-of-fit tests are implemented and evaluated. Based on each approach, a comprehensive backtesting is performed by simulating and comparing the risk measures Value-at-Risk and Expected Shortfall with observed values.

Keywords: Crude oil; Joint dynamics; Tail copulas; Goodness-of-fit tests; Backtesting; Risk measures (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167947314000309
Full text for ScienceDirect subscribers only.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:76:y:2014:i:c:p:359-376

DOI: 10.1016/j.csda.2014.01.019

Access Statistics for this article

Computational Statistics & Data Analysis is currently edited by S.P. Azen

More articles in Computational Statistics & Data Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().