Linear time-varying regression with copula-DCC-asymmetric-GARCH models for volatility : the co-movement between industrial electricity demand and financial factors
Yunsun Kim, Sun-Young Hwang, Jong-Min Kim and Sahm Kim
| Year of publication: |
2023
|
|---|---|
| Authors: | Kim, Yunsun ; Hwang, Sun Young ; Kim, Jong-Min ; Kim, Sahm |
| Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 55.2023, 3, p. 255-272
|
| Subject: | Copula | dynamic conditional correlation | GARCH | time-Varying correlation | volatility | Volatilität | Volatility | ARCH-Modell | ARCH model | Korrelation | Correlation | Zeitreihenanalyse | Time series analysis | Regressionsanalyse | Regression analysis | Multivariate Verteilung | Multivariate distribution | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2022.2086684 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013494421