Forecasting Energy Value at Risk Using Multiscale Dependence Based Methodology

Forecasting Energy Value at Risk Using Multiscale Dependence Based Methodology

In this paper, we propose a multiscale dependence-based methodology to analyze the dependence structure and to estimate the downside portfolio risk measures in the energy markets. More specifically, under this methodology, we formulate a new bivariate Empirical Mode Decomposition (EMD) copula based...

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Bibliographic Details
Main Authors: Kaijian He, Rui Zha, Yanhui Chen, Kin Keung Lai
Format: Article
Language:English
Published: MDPI AG 2016-05-01
Series:Entropy
Subjects:
energy markets
portfolio value at risk
copula GARCH model
Bivariate Empirical Mode Decomposition (BEMD)
entropy
Online Access:http://www.mdpi.com/1099-4300/18/5/170

Internet

http://www.mdpi.com/1099-4300/18/5/170

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