Equation-by-equation estimation of multivariate periodic electricity price volatility
Alvaro Escribano, Genaro Sucarrat
| Year of publication: |
August 2018
|
|---|---|
| Authors: | Escribano, Álvaro ; Sucarrat, Genaro |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 74.2018, p. 287-298
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| 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 | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income | Nordeuropa | Northern Europe | Korrelation | Correlation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2018.05.017 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011972846