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2012-05-29Masterarbeit DOI: 10.18452/14165
Modelling interdependence in a pair of heating oil and natural gas futures curves
dc.contributor.authorZolotko, Mikhail
dc.date.accessioned2017-06-18T02:32:39Z
dc.date.available2017-06-18T02:32:39Z
dc.date.created2012-05-31
dc.date.issued2012-05-29
dc.identifier.urihttp://edoc.hu-berlin.de/18452/14817
dc.description.abstractThis Master thesis further develops the framework for the joint modelling of several futures curves proposed by Ohana (2010). The key innovation is the incorporation of dynamic conditional correlation models based on hierarchical Archimedian copula (HAC-DCC). The conducted analysis allowed to forecast the distribution of the returns of any portfolios composed of the available futures contracts for short time periods. As shown in the study, value-at-risk estimates derived from the forecasts produced by HAC-DCC models are accurate, and these models outperform other benchmark models on a consistent basis as shown by the value-at-risk backtesting procedure carried out on a set of 1000 simulated futures portfolios.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectcommoditieseng
dc.subjectmultivariate GARCHeng
dc.subjecthierarchical Archimedean copulaeng
dc.subjectvalue-at-riskeng
dc.subjectforward curveseng
dc.subject.ddc310 Sammlungen allgemeiner Statistiken
dc.subject.ddc330 Wirtschaft
dc.titleModelling interdependence in a pair of heating oil and natural gas futures curves
dc.typemasterThesis
dc.identifier.urnurn:nbn:de:kobv:11-100202438
dc.identifier.doihttp://dx.doi.org/10.18452/14165
dc.contributor.refereeOkhrin, Ostap
dc.contributor.refereeCabrera, Brenda López
local.edoc.pages68
local.edoc.type-nameMasterarbeit
bua.departmentWirtschaftswissenschaftliche Fakultät

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