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Equation-by-equation estimation of multivariate periodic electricity price volatility
16 references·1 citing·37 second hopsampled
Equation-by-equation estimation of multivariate periodic electricity price volatility (2018)Equation-by-equation estimation of multiv…An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns (2016)An equation-by-equation estim…Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown (2015)Estimation and inference in u…Estimating Multivariate Volatility Models Equation by Equation (2015)Estimating Multivariate Volat…Modelling volatility by variance decomposition (2013)Modelling volatility by varia…Modelling changes in the unconditional variance of long stock return series (2013)Modelling changes in the unco…EGARCH models with fat tails, skewness and leverage (2013)EGARCH models with fat tails,…Dynamic Conditional Correlation: On Properties and Estimation (2013)Dynamic Conditional Correlati…MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES (2012)MULTIVARIATE VOLATILITY MODEL…Modelling Electricity Prices: International Evidence* (2011)Modelling Electricity Prices:…A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations (2011)A Dynamic Multivariate Heavy-…The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes (2008)The Spline-GARCH Model for Lo…Effects of outliers on the identification and estimation of GARCH models (2006)Effects of outliers on the id…Forecasting economic time series with unconditional time-varying variance (2004)Forecasting economic time ser…Modeling Electricity Prices: International Evidence (2002)Modeling Electricity Prices: …Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation* (2017)An Exponential Chi-Squared QM…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)Using extreme value theory to measure value-at-risk for daily electricity spot prices (2006)Market price of risk implied by Asian-style electricity options and futures (2007)Conditional Skewness in Asset Pricing Tests (2000)Dynamic copula models and high frequency data (2014)Time‐series models with an EGB2 conditional distribution (2014)Forecasting Bitcoin risk measures: A robust approach (2019)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Modelling price and volatility inter-relationships in the Australian wholesale spot electricity markets (2009)Solar Grid Parity dynamics in Italy: A real option approach (2014)Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)Fluctuations in Uncertainty (2014)Really Uncertain Business Cycles (2014)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)On the links between stock and commodity markets' volatility (2013)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Is Gold a Hedge or a Safe-Haven Asset in the COVID–19 Crisis? (2020)Robust forecasting of dynamic conditional correlation GARCH models (2012)Volatility persistence in crude oil markets (2013)Forecasting crude-oil market volatility: Further evidence with jumps (2017)Marginal likelihood for Markov-switching and change-point GARCH models (2013)Macro-Finance Determinants of the Long-Run Stock–Bond Correlation: The DCC-MIDAS Specification (2015)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads (2016)The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets (2021)
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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes896 cited
  • 2013Dynamic Conditional Correlation: On Properties and Estimation423 cited
  • 2011A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations293 cited
  • 2002Modeling Electricity Prices: International Evidence187 cited
  • 2011Modelling Electricity Prices: International Evidence*184 cited
  • 2013EGARCH models with fat tails, skewness and leverage150 cited
  • 2013Modelling volatility by variance decomposition112 cited
  • 2006Effects of outliers on the identification and estimation of GARCH models105 cited
  • 2013Modelling changes in the unconditional variance of long stock return series72 cited
  • 2012MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES56 cited
  • 2015Estimating Multivariate Volatility Models Equation by Equation54 cited
  • 2004Forecasting economic time series with unconditional time-varying variance48 cited
  • 2015Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown

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43 cited
  • 2016An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns24 cited
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    • 2017An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation*18 cited