Evaluating Multivariate GARCH Models in the Nordic Electricity Markets

DOI10.1080/03610910500416033zbMATH Open1084.62116OpenAlexW2032044889MaRDI QIDQ3378029FDOQ3378029

Authors Pekka Malo, Antti J. Kanto

Publication date 29 March 2006

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://aaltodoc.aalto.fi/handle/123456789/12287

zbMATH Keywords

multivariate GARCHconditional momentshedging performance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• scientific article; zbMATH DE number 1055921 (Why is no real title available?)
• scientific article; zbMATH DE number 914852 (Why is no real title available?)
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Evaluating GARCH models.
• Financial econometrics: Past developments and future challenges
• Generalized autoregressive conditional heteroscedasticity
• Hedging Pressure and Futures Price Movements in a General Equilibrium Model
• Martingales and stochastic integrals in the theory of continuous trading

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