Evaluating Multivariate GARCH Models in the Nordic Electricity Markets

DOI10.1080/03610910500416033zbMath1084.62116OpenAlexW2032044889MaRDI QIDQ3378029

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 momentsmultivariate GARCHhedging performance

Mathematics Subject Classification ID

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

Cites Work

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• Martingales and stochastic integrals in the theory of continuous trading
• Generalized autoregressive conditional heteroscedasticity
• Financial econometrics: Past developments and future challenges
• Evaluating GARCH models.
• Hedging Pressure and Futures Price Movements in a General Equilibrium Model
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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