Authors: Jäschke, Stefan
Title: Estimation of risk measures in energy portfolios using modern copula techniques
Language (ISO): en
Abstract: The present paper analyses the dependence structure between WTI and Brent crude oil spot log-returns using modern copula techniques. In a first step we apply several single equation models to the marginals to account for autocorrelation and volatility clustering. Second, to select both copulas and tail copulas characterising the joint dynamics between the time series we implement and evaluate newly introduced bootstrap-based goodness-of-fit tests. Based on each approach, a comprehensive backtesting is performed by simulating and comparing the risk measures Value-at-Risk and Expected Shortfall with historical values.
Subject Headings: backtesting
crude oil
goodness-of-fit tests
joint dynamics
risk measures
tail copulas
URI: http://hdl.handle.net/2003/29691
http://dx.doi.org/10.17877/DE290R-7162
Issue Date: 2012-10-15
Appears in Collections:Sonderforschungsbereich (SFB) 823

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