Listar Economía por autor "Abreu, Ludyson Ramon Lira de"
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Dynamic vine copulas for tail risk assessment in energy commodities
Abreu, Ludyson Ramon Lira de (2022) [Tesis de maestría]In this paper, we seek to measure and forecast tail risk for a energy commodities portfolio. To address this challenge, we propose a dynamic D-vine copulas. This model allow us to capture the complex dependence structures ...