Forecasting Energy Value at Risk Using Multiscale Dependence Based Methodology

Entropy

Kin Keung Lai¹  Kaijian He²  Rui Zha³  Yanhui Chen⁴ 

[1] Department of Industrial and Manufacturing Systems Engineering, The University of Hong Kong, Pokfulam Road, Hong Kong, China;School of Business, Hunan University of Science and Technology, Xiangtan 411201, China;School of Economics and Management, Beijing University of Chemical Technology, Beijing 100029, China;School of Economics and Management, Shanghai Maritime University, Shanghai 201306, China;

关键词: energy markets;    portfolio value at risk;    copula GARCH model;    Bivariate Empirical Mode Decomposition (BEMD);    entropy;   

DOI  :  10.3390/e18050170

来源: DOAJ

【 摘 要 】

In this paper, we propose a multiscale dependence-based methodology to analyze the dependence structure and to estimate the downside portfolio risk measures in the energy markets. More specifically, under this methodology, we formulate a new bivariate Empirical Mode Decomposition (EMD) copula based approach to analyze and model the multiscale dependence structure in the energy markets. The proposed model constructs the Copula-based dependence structure formulation in the Bivariate Empirical Mode Decomposition (BEMD)-based multiscale domain. Results from the empirical studies using the typical Australian electricity daily prices show that there exists a multiscale dependence structure between different regional markets across different scales. The proposed model taking into account the multiscale dependence structure demonstrates statistically significantly-improved performance in terms of accuracy and reliability measures.

【 授权许可】

Unknown