{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,10,18]],"date-time":"2025-10-18T15:05:24Z","timestamp":1760799924483,"version":"build-2065373602"},"reference-count":54,"publisher":"MDPI AG","issue":"5","license":[{"start":{"date-parts":[[2016,5,4]],"date-time":"2016-05-04T00:00:00Z","timestamp":1462320000000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"funder":[{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["71201054","91224001"],"award-info":[{"award-number":["71201054","91224001"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]},{"name":"the Strategic Research Grant of City University of Hong Kong","award":["7004574"],"award-info":[{"award-number":["7004574"]}]},{"name":"the Fundamental Research Funds for the Central Universities in BUCT"},{"name":"the University Young Teacher 471 Training Program of Shanghai"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Entropy"],"abstract":"<jats:p>In this paper, we propose a multiscale dependence-based methodology to analyze the dependence structure and to estimate the downside portfolio risk measures in the energy markets. More specifically, under this methodology, we formulate a new bivariate Empirical Mode Decomposition (EMD) copula based approach to analyze and model the multiscale dependence structure in the energy markets. The proposed model constructs the Copula-based dependence structure formulation in the Bivariate Empirical Mode Decomposition (BEMD)-based multiscale domain. Results from the empirical studies using the typical Australian electricity daily prices show that there exists a multiscale dependence structure between different regional markets across different scales. The proposed model taking into account the multiscale dependence structure demonstrates statistically significantly-improved performance in terms of accuracy and reliability measures.<\/jats:p>","DOI":"10.3390\/e18050170","type":"journal-article","created":{"date-parts":[[2016,5,4]],"date-time":"2016-05-04T10:07:08Z","timestamp":1462356428000},"page":"170","update-policy":"https:\/\/doi.org\/10.3390\/mdpi_crossmark_policy","source":"Crossref","is-referenced-by-count":11,"title":["Forecasting Energy Value at Risk Using Multiscale Dependence Based Methodology"],"prefix":"10.3390","volume":"18","author":[{"given":"Kaijian","family":"He","sequence":"first","affiliation":[{"name":"School of Business, Hunan University of Science and Technology, Xiangtan 411201, China"},{"name":"School of Economics and Management, Beijing University of Chemical Technology, Beijing 100029, China"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Rui","family":"Zha","sequence":"additional","affiliation":[{"name":"School of Economics and Management, Beijing University of Chemical Technology, Beijing 100029, China"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Yanhui","family":"Chen","sequence":"additional","affiliation":[{"name":"School of Economics and Management, Shanghai Maritime University, Shanghai 201306, China"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Kin","family":"Lai","sequence":"additional","affiliation":[{"name":"Department of Industrial and Manufacturing Systems Engineering, The University of Hong Kong, Pokfulam Road, Hong Kong, China"},{"name":"International Business School, Shaanxi Normal University, Xi\u2019an 710119, China"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"1968","published-online":{"date-parts":[[2016,5,4]]},"reference":[{"key":"ref_1","doi-asserted-by":"crossref","first-page":"67","DOI":"10.1016\/j.ijpe.2010.10.007","article-title":"Financial and operational decisions in the electricity sector: Contract portfolio optimization with the conditional value-at-risk criterion","volume":"134","author":"Yau","year":"2011","journal-title":"Int. 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