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

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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)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Evaluating GARCH models.
• Martingales and stochastic integrals in the theory of continuous trading
• Financial econometrics: Past developments and future challenges
• Title not available (Why is that?)
• Title not available (Why is that?)
• Hedging Pressure and Futures Price Movements in a General Equilibrium Model

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