Multivariate dependence and portfolio management strategy of energy stocks: An EVT-vine copula approach - Energy Economics
The data file contains the price and return series of fifteen energy stocks listed in New York Stock Exchange. 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.