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Search: subject:"Volatility impulse response function"
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volatility impulse response function
2
GARCH
1
electricity market
1
energy markets
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forward markets
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non Gaussian distributions
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skew-Student asymmetric BEKK
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time-varying volatility spillovers
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Green, Rikard
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Larsson, Karl
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Lunina, Veronika
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Nilsson, Birger
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PEN, Yannick LE
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SEVI, Benoît
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Centre de Recherche en Économie et Droit de l'Énergie, Faculté de sciences économiques
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Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets
Green, Rikard
;
Larsson, Karl
;
Lunina, Veronika
; …
-
2016
different market conditions. We use a general VAR-BEKK model and the
volatility
impulse
response
function
methodology to analyze …
Persistent link: https://www.econbiz.de/10013208746
Saved in:
2
Volatility transmission and volatility impulse response functions in European electricity forward markets
PEN, Yannick LE
;
SEVI, Benoît
-
Centre de Recherche en Économie et Droit de …
-
2008
of International Money and Finance 25, 719-740]
Volatility
Impulse
Response
Function
(VIRF) to quantify the impact of …
Persistent link: https://www.econbiz.de/10005739861
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