Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility Working Papers uri icon

publication date

  • 2016

series title

  • UC3M working papers. Economics

series number

  • 16-11

keywords

  • electricity prices; financial return; volatility; arch; exponential garch ; log-garch; multivariate garch; dynamic conditional correlations; inverse leverage; nord pool