IDEAS home Printed from https://ideas.repec.org/r/zbw/sfb649/sfb649dp2011-063.html

Multivariate volatility modeling of electricity futures

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Filippos Ioannidis & Kyriaki Kosmidou & Panayiotis Theodossiou, 2025. "Spillovers Into the German Electricity Market From the Gas, Coal, and CO2 Emissions Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(9), pages 1253-1277, September.
  2. Geert Dhaene & Piet Sercu & Jianbin Wu, 2022. "Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 868-887, May.
  3. Bauwens, Luc & Braione, Manuela & Storti, Giuseppe, 2017. "A dynamic component model for forecasting high-dimensional realized covariance matrices," Econometrics and Statistics, Elsevier, vol. 1(C), pages 40-61.
  4. Angelica Gianfreda & Francesco Ravazzolo & Luca Rossini, 2023. "Large Time‐Varying Volatility Models for Hourly Electricity Prices," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(3), pages 545-573, June.
  5. Xiao, Binqing & Yang, Ye & Peng, Xuerong & Fang, Libing, 2019. "Measuring the connectedness of European electricity markets using the network topology of variance decompositions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
  6. repec:hum:wpaper:sfb649dp2013-042 is not listed on IDEAS
  7. repec:hum:wpaper:sfb649dp2011-065 is not listed on IDEAS
  8. repec:hum:wpaper:sfb649dp2011-063 is not listed on IDEAS
  9. BAUWENS, Luc & BRAIONE, Manuela & STORTI, Giuseppe, 2016. "Multiplicative Conditional Correlation Models for Realized Covariance Matrices," LIDAM Discussion Papers CORE 2016041, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  10. Matias Quiroz & Laleh Tafakori & Hans Manner, 2024. "Forecasting realized covariances using HAR-type models," Papers 2412.10791, arXiv.org.
  11. Cristina Amado & Annastiina Silvennoinen & Timo Ter¨asvirta, 2018. "Models with Multiplicative Decomposition of Conditional Variances and Correlations," NIPE Working Papers 07/2018, NIPE - Universidade do Minho.
  12. Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2020. "Multivariate leverage effects and realized semicovariance GARCH models," Journal of Econometrics, Elsevier, vol. 217(2), pages 411-430.
  13. BAUWENS, Luc & otranto, EDOARDO, 2013. "Modeling the dependence of conditional correlations on volatility," LIDAM Discussion Papers CORE 2013014, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  14. repec:hum:wpaper:sfb649dp2011-064 is not listed on IDEAS
  15. repec:hum:wpaper:sfb649dp2011-084 is not listed on IDEAS
  16. Xianfang Su & Huiming Zhu & Xinxia Yang, 2019. "Heterogeneous Causal Relationships between Spot and Futures Oil Prices: Evidence from Quantile Causality Analysis," Sustainability, MDPI, vol. 11(5), pages 1-17, March.
  17. Noureldin, Diaa & Shephard, Neil & Sheppard, Kevin, 2014. "Multivariate rotated ARCH models," Journal of Econometrics, Elsevier, vol. 179(1), pages 16-30.
  18. Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun & Wang, Weining, 2021. "Long- and short-run components of factor betas: Implications for stock pricing," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
  19. repec:hum:wpaper:sfb649dp2011-072 is not listed on IDEAS
  20. Ma, Rufei & Liu, Zhenhua & Zhai, Pengxiang, 2022. "Does economic policy uncertainty drive volatility spillovers in electricity markets: Time and frequency evidence," Energy Economics, Elsevier, vol. 107(C).
  21. Dark, Jonathan, 2024. "An adaptive long memory conditional correlation model," Journal of Empirical Finance, Elsevier, vol. 75(C).
  22. repec:hum:wpaper:sfb649dp2011-083 is not listed on IDEAS
  23. Dahiru A. Balaa & Taro Takimotob, 2017. "Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 17(1), pages 25-48, March.
  24. Fresoli, Diego E. & Ruiz, Esther, 2016. "The uncertainty of conditional returns, volatilities and correlations in DCC models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 170-185.
  25. Matias Quiroz & Laleh Tafakori & Hans Manner, 2024. "Forecasting Realized Covariances Using HAR-Type Models," Graz Economics Papers 2024-20, University of Graz, Department of Economics.
  26. Angelica Gianfreda & Francesco Ravazzolo & Luca Rossini, 2020. "Large Time-Varying Volatility Models for Electricity Prices," Working Papers No 05/2020, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  27. Sucarrat, Genaro & Grønneberg, Steffen & Escribano, Alvaro, 2016. "Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 582-594.
  28. Tsukuda, Yoshihiko & Shimada, Junji & Miyakoshi, Tatsuyoshi, 2017. "Bond market integration in East Asia: Multivariate GARCH with dynamic conditional correlations approach," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 193-213.
  29. repec:hum:wpaper:sfb649dp2011-071 is not listed on IDEAS
  30. Campos-Martins, Susana & Amado, Cristina, 2025. "Modelling dynamic interdependence in nonstationary variances with an application to carbon markets," Journal of Economic Dynamics and Control, Elsevier, vol. 173(C).
  31. repec:hum:wpaper:sfb649dp2011-085 is not listed on IDEAS
  32. Palzer, Andreas & Westner, Günther & Madlener, Reinhard, 2013. "Evaluation of different hedging strategies for commodity price risks of industrial cogeneration plants," Energy Policy, Elsevier, vol. 59(C), pages 143-160.
  33. repec:hum:wpaper:sfb649dp2011-069 is not listed on IDEAS
  34. Conrad, Christian & Stuermer, Karin, 2017. "On the economic determinants of optimal stock-bond portfolios: international evidence," Working Papers 0636, University of Heidelberg, Department of Economics.
  35. de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
  36. Escribano, Alvaro & Sucarrat, Genaro, 2018. "Equation-by-equation estimation of multivariate periodic electricity price volatility," Energy Economics, Elsevier, vol. 74(C), pages 287-298.
  37. Proietti, Tommaso, 2014. "Exponential Smoothing, Long Memory and Volatility Prediction," MPRA Paper 57230, University Library of Munich, Germany.
  38. Francisco Ortiz Arango & Alma Nelly Montiel Guzmán, 2017. "Transmission of future prices of corn of the Chicago Board of Trade to the Mexican spot market," Contaduría y Administración, Accounting and Management, vol. 62(3), pages 941-957, Julio-Sep.
  39. repec:hum:wpaper:sfb649dp2011-067 is not listed on IDEAS
  40. Pierret, D., 2013. "The systemic risk of energy markets," LIDAM Discussion Papers ISBA 2013061, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  41. repec:hum:wpaper:sfb649dp2011-082 is not listed on IDEAS
  42. Asger Lunde & Kasper V. Olesen, 2014. "Modeling and Forecasting the Distribution of Energy Forward Returns - Evidence from the Nordic Power Exchange," CREATES Research Papers 2013-19, Department of Economics and Business Economics, Aarhus University.
  43. Fiszeder, Piotr & Fałdziński, Marcin, 2019. "Improving forecasts with the co-range dynamic conditional correlation model," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
  44. Amer Ait Sidhoum & Teresa Serra, 2016. "Volatility Spillovers in the Spanish Food Marketing Chain: The Case of Tomato," Agribusiness, John Wiley & Sons, Ltd., vol. 32(1), pages 45-63, January.
  45. Luc Bauwens & Manuela Braione & Giuseppe Storti, 2016. "Forecasting Comparison of Long Term Component Dynamic Models for Realized Covariance Matrices," Annals of Economics and Statistics, GENES, issue 123-124, pages 103-134.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.