Evaluating Multivariate GARCH Models in the Nordic Electricity Markets

DOI10.1080/03610910500416033MaRDI QIDQ3378029zbMATH OpenOpenAlexFDO

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

conditional momentshedging performancemultivariate GARCH

Mathematics Subject Classification ID

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

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Cites work

• 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
• scientific article; zbMATH DE number 1055921 (Why is no real title available?)
• scientific article; zbMATH DE number 914852 (Why is no real title available?)
• Martingales and stochastic integrals in the theory of continuous trading

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