SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Equation-by-equation estimation of multivariate periodic electricity price volatility · Study

ArticleShelves

ArticleEquation-by-equation estimation of multivariate periodic electricity price volatility

Álvaro Escribano2018

OA

Articlegreen2018

Equation-by-equation estimation of multivariate periodic electricity price volatility

Álvaro Escribano · Genaro Sucarrat

19 citations·0/0 files stored·Energy Economics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Market Dynamics and Volatility Energy Load and Power Forecasting

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 19 citations exist upstream.

References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 2002Dynamic Conditional Correlation 2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes 2013Dynamic Conditional Correlation: On Properties and Estimation 2011A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 2002Modeling Electricity Prices: International Evidence 2011Modelling Electricity Prices: International Evidence*2013EGARCH models with fat tails, skewness and leverage

Cited by

2017An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation*

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2021Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH modelarticle · 6 shared references 2015Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknownarticle · 5 shared references 2016An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returnsarticle · 5 shared references 2013Financial Risk Measurement for Financial Risk Managementchapter · 4 shared references 2017Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed- t density approacharticle · 4 shared references 2017MGARCH models: Trade-off between feasibility and flexibilityarticle · 4 shared references

Details

Year2018

Typearticle

Published2018-06-28

VenueEnergy Economics

ISSN-L0140-9883

Languageen

Citations19

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.eneco.2018.05.017

openalex_workW2513816627

Links

Imported from OpenAlex (CC0) — nothing here is generated.