Modeling Risk in Commodity Markets: A Comparison of GARCH and GPD-based Copulas

Author/​Artist
Stapleton, Kelly R. [Browse]
Format
Senior thesis
Language
English
Description
58 Pages

Details

Advisor(s)
Cheridito, Patrick [Browse]
Department
Princeton University. Department of Operations Research and Financial Engineering [Browse]
Class year
2009
Restrictions note
This thesis can be viewed in person at the Mudd Manuscript Library. To order a copy complete the Senior Thesis Request Form. For more information contact mudd@princeton.edu.

Supplementary Information