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Multivariate volatility modeling of electricity futures
Bauwens, Luc; Hafner, Christian M.; Pierret, Diane - 2011
estimate nonparametrically. For the short-run dynamics, we use a GJR-GARCH model for the conditional variances and augmented …
Persistent link: https://www.econbiz.de/10010330971
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Multivariate Volatility Modeling of Electricity Futures
Bauwens, Luc; Hafner, Christian M.; Pierret, Diane - 2011
estimate nonparametrically. For the short-run dynamics, we use a GJR-GARCH model for the conditional variances and augmented …
Persistent link: https://www.econbiz.de/10009467125
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Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc; Otranto, Edoardo - In: Journal of econometrics 217 (2020) 2, pp. 496-522
Persistent link: https://www.econbiz.de/10012482819
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Modeling the dependence of conditional correlations on market volatility
Bauwens, Luc; Otranto, Edoardo - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 254-268
Persistent link: https://www.econbiz.de/10011691329
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DCC-HEAVY : a multivariate GARCH model based on realized variances and correlations
Bauwens, Luc; Xu, Yongdeng - 2019
Persistent link: https://www.econbiz.de/10012215175
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Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc; Otranto, Edoardo - 2018
Persistent link: https://www.econbiz.de/10011992647
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Multivariate Volatility Modeling of Electricity Futures
Bauwens, Luc; Hafner, Christian M.; Pierret, Diane - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
estimate nonparametrically. For the short-run dynamics, we use a GJR-GARCH model for the conditional variances and augmented …
Persistent link: https://www.econbiz.de/10010607142
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Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk
Bauwens, Luc; Bos, Charles S.; van Dijk, Herman K. - 1999
applied within a Bayesian analysisof a GARCH-mixture model which is used for the evaluation of theValue-at-Risk of the return …
Persistent link: https://www.econbiz.de/10010324702
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A Bayesian method of change-point estimation with recurrent regimes : application to GARCH models
Bauwens, Luc; De Backer, Bruno; Dufays, Arnaud - In: Journal of empirical finance 29 (2014), pp. 207-229
Persistent link: https://www.econbiz.de/10011300484
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Adaptive polar sampling with an application to a Bayes measure of value-at-risk
Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - 1999
applied within a Bayesian analysisof a GARCH-mixture model which is used for the evaluation of theValue-at-Risk of the return …
Persistent link: https://www.econbiz.de/10011302625