Equation-by-equation estimation of multivariate periodic electricity price volatility
Year of publication: |
August 2018
|
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Authors: | Escribano, Álvaro ; Sucarrat, Genaro |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 74.2018, p. 287-298
|
Subject: | Electricity prices | Financial return | Volatility | ARCH | Exponential GARCH | Log-GARCH | Multivariate GARCH | Dynamic conditional correlations | Leverage | Nord Pool | Volatilität | Strompreis | Electricity price | ARCH-Modell | ARCH model | Multivariate Analyse | Multivariate analysis | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Nordeuropa | Northern Europe | Schätztheorie | Estimation theory |
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