2012-10-12Buch DOI: 10.18452/4433
Modelling general dependence between commodity forward curves
This study proposes a novel framework for the joint modelling of commodity forward curves. Its key contribution is twofold. First, dynamic correlation models are applied in this context as part of the modelling scheme. Second, 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. The conducted analysis allows us to obtain precise out-of-sample forecasts of the distribution of the returns of various commodity futures portfolios. The Value-at-Risk analysis shows that HAC DCC models outperform other introduced benchmark models on a consistent basis.
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Is Part Of Series: Sonderforschungsbereich 649: Ökonomisches Risiko - 60, SFB 649 Papers, ISSN:1860-5664