Manage energy price risks with regime-switching GJR-GARCH and regular vine copulas

Additional Metadata
Keywords	Energy prices; energy commodity; Markov switching; GJR-GARCH; vine copula; Value-at-Risk; VaR; expected shortfall; forecasting; extreme risks; multiproduct hedging
Thesis Advisor	Camehl, AM
Persistent URL	hdl.handle.net/2105/70287
Series	Econometrie
Organisation	Erasmus School of Economics
Citation APA Style AAA Style APA Style Cell Style Chicago Style Harvard Style IEEE Style MLA Style Nature Style Vancouver Style American-Institute-of-Physics Style Council-of-Science-Editors Style BibTex Format Endnote Format RIS Format CSL Format DOIs only Format	Terwel, C. (2023, September 19). Manage energy price risks with regime-switching GJR-GARCH and regular vine copulas. Econometrie. Retrieved from http://hdl.handle.net/2105/70287

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