Multivariate dependence and portfolio management strategy of energy stocks: An EVT-vine copula approach - Energy Economics

Published: 18 May 2020| Version 1 | DOI: 10.17632/zyytsd86d7.1
Samit Paul


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.



Financial Economics, Energy Economics, Financial Risk Management, Portfolio Analysis