Next Article in Journal
Reliability Analysis Based on a Jump Diffusion Model with Two Wiener Processes for Cloud Computing with Big Data
Previous Article in Journal
Clausius’ Disgregation: A Conceptual Relic that Sheds Light on the Second Law
 
 
Article

Estimating Portfolio Value at Risk in the Electricity Markets Using an Entropy Optimized BEMD Approach

by 1,2, 1 and 1,*
1
School of Economics and Management, Beijing University of Chemical Technology, Beijing, 100029, China
2
College of Information Science and Technology, Beijing University of Chemical Technology, Beijing, 100029, China
*
Author to whom correspondence should be addressed.
Academic Editor: Kevin H. Knuth
Entropy 2015, 17(7), 4519-4532; https://doi.org/10.3390/e17074519
Received: 27 January 2015 / Revised: 18 June 2015 / Accepted: 23 June 2015 / Published: 26 June 2015
In this paper, we propose a new entropy-optimized bivariate empirical mode decomposition (BEMD)-based model for estimating portfolio value at risk (PVaR). It reveals and analyzes different components of the price fluctuation. These components are decomposed and distinguished by their different behavioral patterns and fluctuation range, by the BEMD model. The entropy theory has been introduced for the identification of the model parameters during the modeling process. The decomposed bivariate data components are calculated with the DCC-GARCH models. Empirical studies suggest that the proposed model outperforms the benchmark multivariate exponential weighted moving average (MEWMA) and DCC-GARCH model, in terms of conventional out-of-sample performance evaluation criteria for the model accuracy. View Full-Text
Keywords: portfolio value at risk (PVaR); entropy theory; bivariate empirical mode decomposition (BEMD); DCC-GARCH model portfolio value at risk (PVaR); entropy theory; bivariate empirical mode decomposition (BEMD); DCC-GARCH model
MDPI and ACS Style

Zou, Y.; Yu, L.; He, K. Estimating Portfolio Value at Risk in the Electricity Markets Using an Entropy Optimized BEMD Approach. Entropy 2015, 17, 4519-4532. https://doi.org/10.3390/e17074519

AMA Style

Zou Y, Yu L, He K. Estimating Portfolio Value at Risk in the Electricity Markets Using an Entropy Optimized BEMD Approach. Entropy. 2015; 17(7):4519-4532. https://doi.org/10.3390/e17074519

Chicago/Turabian Style

Zou, Yingchao, Lean Yu, and Kaijian He. 2015. "Estimating Portfolio Value at Risk in the Electricity Markets Using an Entropy Optimized BEMD Approach" Entropy 17, no. 7: 4519-4532. https://doi.org/10.3390/e17074519

Find Other Styles

Article Access Map by Country/Region

1
Only visits after 24 November 2015 are recorded.
Back to TopTop