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Multivariate Volatility Modeling of Electricity Futures: Online Appendix

Authors :
Luc Bauwens
Diane Pierret
Christian M. Hafner
Source :
SSRN Electronic Journal.
Publication Year :
2011
Publisher :
Elsevier BV, 2011.

Abstract

Online Appendix to "MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES". Full paper available at: https://ssrn.com/abstract=2965508

Subjects

Subjects :
Multivariate garch
Multivariate volatility
Financial economics
business.industry
Econometrics
Economics
Electricity
business
Futures contract
Multiplicative model
Full paper

Details

ISSN :
15565068
Database :
OpenAIRE
Journal :
SSRN Electronic Journal
Accession number :
edsair.doi...........50a69769e0385214b0fc17a88724ba57

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