GARCH-type processes in modeling energy prices
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Publication:3374062
zbMATH Open1126.91340MaRDI QIDQ3374062FDOQ3374062
Authors: Irina N. Khindanova, Zauresh Atakhanova, Svetlozar T. Rachev 
Publication date: 9 March 2006
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- Measuring and Testing Natural Gas and Electricity Markets Volatility: Evidence from Alberta's Deregulated Markets
- Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models
- Energy futures prices: term structure models with Kalman filter estimation
- Heterogeneous beliefs, regret, and uncertainty: the role of speculation in energy price dynamics
- Unveiling endogeneity and temporal dependence in energy prices and demand in Iberian countries: a stochastic hidden Markov model approach
- Impact of global financial crisis on stylized facts between energy markets and stock markets
- Stable modeling in energy risk management
- Parametric and non-parametric approaches in evaluating martingale hypothesis of energy spot markets
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