Gatfaoui, Hayette

We build a portfolio encompassing U.S. crude oil, natural gas and stocks to study the diversification power of energy commodities. Such diversification power depends on the joint dependence structure of the three types of assets. According to Gatfaoui (2016a), the dependence structure is time-varying because individual asset returns exhibit several...

Gatfaoui, Hayette

We build a portfolio encompassing U.S. crude oil, natural gas and stocks to study the diversification power of energy commodities. Such diversification power depends on the joint dependence structure of the three types of assets. According to Gatfaoui (2016a), the dependence structure is time-varying because individual asset returns exhibit several...

Gatfaoui, Hayette

We build a portfolio encompassing U.S. crude oil, natural gas and stocks to study the diversification power of energy commodities. Such diversification power depends on the joint dependence structure of the three types of assets. According to Gatfaoui (2016a), the dependence structure is time-varying because individual asset returns exhibit several...

Gatfaoui, Hayette

We build a portfolio encompassing U.S. crude oil, natural gas and stocks to study the diversification power of energy commodities. Such diversification power depends on the joint dependence structure of the three types of assets. According to Gatfaoui (2016a), the dependence structure is time-varying because individual asset returns exhibit several...

Gatfaoui, Hayette

We build a portfolio encompassing U.S. crude oil, natural gas and stocks to study the diversification power of energy commodities. Such diversification power depends on the joint dependence structure of the three types of assets. According to Gatfaoui (2016a), the dependence structure is time-varying because individual asset returns exhibit several...

Gatfaoui, Hayette

We build a portfolio encompassing U.S. crude oil, natural gas and stocks to study the diversification power of energy commodities. Such diversification power depends on the joint dependence structure of the three types of assets. According to Gatfaoui (2016a), the dependence structure is time-varying because individual asset returns exhibit several...

Couperier, Ophélie Leymarie, Jérémy

In this article, we propose a new approach to backtest Expected Shortfall (ES) exploiting the definition of ES as a function of Value-at-Risk (VaR). Our methodology jointly examines the validity of the VaR forecasts along the tail distribution of the risk model, and hence encompasses the Basel Committee recommendation of verifying quantiles at risk...

Couperier, Ophélie Leymarie, Jérémy

In this article, we propose a new approach to backtest Expected Shortfall (ES) exploiting the definition of ES as a function of Value-at-Risk (VaR). Our methodology jointly examines the validity of the VaR forecasts along the tail distribution of the risk model, and hence encompasses the Basel Committee recommendation of verifying quantiles at risk...

Couperier, Ophélie Leymarie, Jérémy

In this article, we propose a new approach to backtest Expected Shortfall (ES) exploiting the definition of ES as a function of Value-at-Risk (VaR). Our methodology jointly examines the validity of the VaR forecasts along the tail distribution of the risk model, and hence encompasses the Basel Committee recommendation of verifying quantiles at risk...

Couperier, Ophélie Leymarie, Jérémy

In this article, we propose a new approach to backtest Expected Shortfall (ES) exploiting the definition of ES as a function of Value-at-Risk (VaR). Our methodology jointly examines the validity of the VaR forecasts along the tail distribution of the risk model, and hence encompasses the Basel Committee recommendation of verifying quantiles at risk...