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dc.contributor.authorJiechen Tangen_US
dc.contributor.authorChao Zhouen_US
dc.contributor.authorXinyu Yuanen_US
dc.contributor.authorSongsak Sriboonchittaen_US
dc.description.abstract© 2014 Jiechen Tang et al. This paper concentrates on estimating the risk of Title Transfer Facility (TTF) Hub natural gas portfolios by using the GARCHEVT-copula model.We first use the univariate ARMA-GARCH model tomodel each natural gas return series. Second, the extreme value distribution (EVT) is fitted to the tails of the residuals to model marginal residual distributions.Third, multivariate Gaussian copula and Student t-copula are employed to describe the natural gas portfolio risk dependence structure. Finally, we simulate N portfolios and estimate value at risk (VaR) and conditional value at risk (CVaR). Our empirical results show that, for an equally weighted portfolio of five natural gases, the VaR and CVaR values obtained fromthe Student t-copula are larger than those obtained fromthe Gaussian copula.Moreover, when minimizing the portfolio risk, the optimal natural gas portfolio weights are found to be similar across the multivariate Gaussian copula and Student t-copula and different confidence levels.en_US
dc.subjectBiochemistry, Genetics and Molecular Biologyen_US
dc.subjectEnvironmental Scienceen_US
dc.titleEstimating risk of natural gas portfolios by using GARCH-EVT-Copula modelen_US
article.title.sourcetitleScientific World Journalen_US
article.volume2014en_US Mai Universityen_US Normal Universityen_US Of Chinaen_US Normal Universityen_US
Appears in Collections:CMUL: Journal Articles

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