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Estimation of Asymmetric Stochastic Volatility Models: Application to Daily Average Prices of Energy Products

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  • José‐María Montero
  • Gema Fernández‐Avilés
  • María‐Carmen García

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Bibliographic Info

Article provided by International Statistical Institute in its journal International Statistical Review.

Volume (Year): 78 (2010)
Issue (Month): 3 (December)
Pages: 330-347

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Handle: RePEc:bla:istatr:v:78:y:2010:i:3:p:330-347

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Cited by:
  1. Xiuping Mao & Esther Ruiz & Helena Veiga, 2013. "One for all : nesting asymmetric stochastic volatility models," Statistics and Econometrics Working Papers ws131110, Universidad Carlos III, Departamento de Estadística y Econometría.
  2. Montero, José M. & García-Centeno, Maria C. & Fernández-Avilés, Gema, 2011. "Modelling the Volatility of the Spanish Wholesale Electricity Spot Market. Asymmetric GARCH Models vs. Threshold ARSV model/Modelización de la volatilidad en el mercado eléctrico español. Modelos G," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 29, pages 597-616, Agosto.

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