Energy markets volatility modelling using GARCH
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More about this item
KeywordsCrude oil; Natural gas; Electricity; Volatility; Trivariate VARMA; GARCH-in-mean model; Asymmetric BEKK model; DCC model;
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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