Multivariate Volatility Modeling of Electricity Futures: Online Appendix
6 Pages Posted: 10 May 2017
Date Written: December 7, 2011
Online Appendix to "MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES".
Full paper available at: https://ssrn.com/abstract=2965508
Keywords: Multivariate GARCH, dynamic correlations, multiplicative model, forecasting, electricity futures
JEL Classification: C32, C53, C58
Suggested Citation: Suggested Citation
Bauwens, Luc and Hafner, Christian and Pierret, Diane, Multivariate Volatility Modeling of Electricity Futures: Online Appendix (December 7, 2011). Available at SSRN: https://ssrn.com/abstract=2965511 or http://dx.doi.org/10.2139/ssrn.2965511
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