Multivariate volatility modeling of electricity futures
Year of publication: |
2013
|
---|---|
Authors: | Bauwens, Luc ; Hafner, Christian M. ; Pierret, Diane |
Published in: |
Journal of applied econometrics. - Chichester : Wiley-Blackwell, ISSN 0883-7252, ZDB-ID 633941-4. - Vol. 28.2013, 5, p. 743-761
|
Subject: | Derivat | Derivative | Elektrizität | Electricity | Volatilität | Volatility | Strompreis | Electricity price | ARCH-Modell | ARCH model | EU-Staaten | EU countries | 2002-2010 |
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