Data · dataset · 2020
Multivariate dependence and portfolio management strategy of energy stocks: An EVT-vine copula approach - Energy Economics
Listed in Teesside University Research Data Repository
The data file contains the price and return series of fifteen energy stocks listed in New York Stock Exchange.
Description
The price data used is for ten years duration. We have used the return series to create portfolios of different sizes.
Further, we evaluate the out-of-sample VaR and CVaR forecast of different complicated models and the economic and statistical benefit obtained by different portfolio management strategies.
Links
Where it is published
- DOI doi.org/10.17632/zyytsd86d7.1 ↗
DOI / persistent id · from researchdata tees ac uk
Catalogue records · 1
- OAI-PMH record data.mendeley.com/oai?verb=GetRecord&metadataPrefix=oai_dc&identifier=oai%3Adata… ↗
metadata API · from researchdata tees ac uk
Topics
- From keywords
- Earth & Environmental Science · Economics & Finance · Energy · Financial economics
Provenance · 1 source records, 9 field assertions
| Source | Key | Last seen | Raw |
|---|---|---|---|
| Teesside University Research Data Repository | oai:data.mendeley.com/zyytsd86d7.1 | 7 h ago | JSON v1 |
| Field | Assertion | Extractor | Evidence |
|---|---|---|---|
| access_level | source · researchdata tees ac uk | connector:researchdata_tees_ac_uk@1.0.0 | |
| concepts[field].anzsrc:field:380107 | mapping · researchdata tees ac uk | vocabulary-mapper@1.0.0 | keywords['Financial Economics'] |
| concepts[field].local:field:earth-environmental | mapping · researchdata tees ac uk | connector:researchdata_tees_ac_uk@1.0.0 | |
| concepts[field].local:field:economics-finance | mapping · researchdata tees ac uk | connector:researchdata_tees_ac_uk@1.0.0 | |
| concepts[field].local:field:energy | mapping · researchdata tees ac uk | connector:researchdata_tees_ac_uk@1.0.0 | |
| description | source · researchdata tees ac uk | connector:researchdata_tees_ac_uk@1.0.0 | /metadata/dc/description |
| license | source · researchdata tees ac uk | connector:researchdata_tees_ac_uk@1.0.0 | /metadata/dc/rights |
| publication_date | source · researchdata tees ac uk | connector:researchdata_tees_ac_uk@1.0.0 | |
| title | source · researchdata tees ac uk | connector:researchdata_tees_ac_uk@1.0.0 | /metadata/dc/title |