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Modelling the general dependence between commodity forward curves
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DOI：10.1016/j.eneco.2014.02.019.png)
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This study proposes a novel framework for the joint modelling of commodity forward curves. Its key contribution is twofold. First, we introduce a family of dynamic conditional correlation models based on hierarchical Archimedean copulae (HAC-DCC), which are flexible but parsimonious instruments that capture a wide range of dynamic dependencies. Second, we apply these models in the context of commodity forward curves as part of the framework An extensive Value-at-Risk analysis shows that certain HAC-DCC models consistently outperform other introduced benchmarks in terms of the preciseness of their out-of-sample distribution forecasts of the returns of various commodity futures portfolios. This shows that the proposed modelling framework, as one of its possible applications, can be a useful and convenient risk management tool. (C) 2014 Elsevier B.V. All rights reserved.
Keyword:
Commodity forward curves
Multivariate GARCH
Hierarchical Archimedean copula
Value-at-risk
期刊
IF:
14.2
论文数:
8.3K
被引数:
5.3W
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