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.本数据集文件包含纽约证券交易所（New York Stock Exchange）上市的15只能源个股的价格与收益序列。本次研究所用的价格数据时间跨度为十年。本研究借助上述收益序列构建了不同规模的投资组合。此外，本研究针对不同复杂模型的样本外风险价值（Value at Risk, VaR）与条件风险价值（Conditional Value at Risk, CVaR）预测表现展开评估，并对不同投资组合管理策略所带来的经济与统计收益进行了测算。