authors
- ESCRIBANO SAEZ, ALVARO
- SUCARRAT, GENARO DANIEL WEIL JOHNSEN
Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility
Working Papers
Overview
publication date
- 2016
series title
- UC3M working papers. Economics
full text
series number
- 16-11
Classification
keywords
- electricity prices; financial return; volatility; arch; exponential garch; log-garch; multivariate garch; dynamic conditional correlations; inverse leverage; nord pool