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Measuring and Testing Natural Gas and Electricity Markets Volatility: Evidence from Alberta's Deregulated Markets
6 references·0 citing·26 second hop
Measuring and Testing Natural Gas and Electricity Markets Volatility: Evidence from Alberta's Deregulated Markets (2006)Measuring and Testing Natural Gas and Ele…Measuring the Response of Macroeconomic Uncertainty to Shocks (2005)Measuring the Response of Mac…A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…The asymmetric effects of uncertainty on inflation and output growth (2004)The asymmetric effects of unc…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…COINTEGRATION AND ERROR CORRECTION: REPRESENTATION (1987)COINTEGRATION AND ERROR CORRE…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Impulse response analysis in nonlinear multivariate models (1996)Inflation Uncertainty, Output Growth Uncertainty and Macroeconomic Performance (2006)Inflation, output growth, and nominal and real uncertainty: Empirical evidence for the G7 (2007)Energy markets volatility modelling using GARCH (2014)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)The asymmetric effects of oil price and monetary policy shocks: A nonlinear VAR approach (2010)Oil price uncertainty and the Canadian economy: Evidence from a VARMA, GARCH-in-Mean, asymmetric BEKK model (2011)THE ASYMMETRIC EFFECTS OF OIL PRICE SHOCKS (2011)Generalized autoregressive conditional heteroskedasticity (1986)Comparing Predictive Accuracy (1994)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Volatility forecast comparison using imperfect volatility proxies (2010)Tourism as a long-run economic growth factor: the Spanish case (2002)Testing for Error Correction in Panel Data* (2007)Do Natural Resources Fuel Authoritarianism? A Reappraisal of the Resource Curse (2011)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,783 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 1987COINTEGRATION AND ERROR CORRECTION: REPRESENTATION1,262 cited
  • 2004The asymmetric effects of uncertainty on inflation and output growth264 cited
  • 2005Measuring the Response of Macroeconomic Uncertainty to Shocks64 cited

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