Download This PaperMultivariate Volatility Modeling of Electricity Futures: Online Appendix
6 Pages Posted: 10 May 2017
Date Written: December 7, 2011
Abstract
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
Do you have a job opening that you would like to promote on SSRN?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.