Browsing NTNU Open by Author "Huse, Paul Ingebrigt"
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Risk modelling using Vine Copulas: Modelling an energy company portfolio
Haukaas, Magnus Solli; Huse, Paul Ingebrigt; Benterud, Jostein Larsen (Master thesis, 2013)In this paper, a method for calculating Value-at-Risk using GARCH and Vine Copulamodelling with various marginals is implemented and tested on a set of eight electricity futures. The forecasts from this model are then ...