How to hedge extreme risk of natural gas in multivariate semiparametric value-at-risk portfolio?
Date issued
2023
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Technická univerzita v Liberci
Abstract
Description
Subject(s)
extrémní riziko plynu, minimální optimalizace portfolia VaR a mVaR, DECO-DCC-GJRGARCH model
Citation
E+M. Ekonomie a Management = Economics and Management. 2023, roč. 26, č. 3, s. 128-144.