Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/79618
Authors: 
Zolotko, Mikhail
Okhrin, Ostap
Year of Publication: 
2012
Series/Report no.: 
SFB 649 Discussion Paper 2012-060
Abstract: 
This study proposes a novel framework for the joint modelling of commodity forward curves. Its key contribution is twofold. First, dynamic correlation models are applied in this context as part of the modelling scheme. Second, we introduce a family of dynamic conditional correlation models based on hierarchical Archimedean copulae (HAC DCC), which are flexible, but parsimonious instruments that capture a wide range of dynamic dependencies. The conducted analysis allows us to obtain precise out-of-sample forecasts of the distribution of the returns of various commodity futures portfolios. The Value-at-Risk analysis shows that HAC DCC models outperform other introduced benchmark models on a consistent basis.
Subjects: 
commodity forward curves
multivariate GARCH
hierarchical Archimedean copula
Value-at-Risk
JEL: 
C13
C53
Q40
Document Type: 
Working Paper

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