Estimation of Asymmetric Stochastic Volatility Models: Application to Daily Average Prices of Energy Products
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Lopes Moreira Da Veiga, María Helena & Ruiz Ortega, Esther & Mao, Xiuping, 2013. "One for all : nesting asymmetric stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS ws131110, Universidad Carlos III de Madrid. Departamento de Estadística.
- 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 GARC," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 29, pages 597-616, Agosto.
- repec:eee:intfor:v:33:y:2017:i:4:p:1105-1123 is not listed on IDEAS
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