Stochastic modelling of volatility and inter-relationships in the Australian electricity markets

DOI10.1080/03610918.2021.1949469OpenAlexW3186973165MaRDI QIDQ6050517

Joanna J. J. Wang, Jennifer So-Kuen Chan

Publication date: 18 September 2023

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

Full work available at URL: https://doi.org/10.1080/03610918.2021.1949469

zbMATH Keywords

Granger causalityBayesian inferenceAustralian electricity price marketsbivariate SV modelsskew student-\(t\) distribution

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• The t Copula and Related Copulas
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Multivariate Stochastic Variance Models
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison

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