We introduce a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) copula model to describe joint dynamics of overnight and daytime returns for multiple assets. The ...

This is a preview. Log in through your library . Abstract Previous research indicates that the price-output correlation is time varying. This paper therefore ...

We investigate the hedging effectiveness of energy derivatives traded at the European Energy Exchange (EEX), which can be used for mitigating the risk exposure of gas- and coal-fired power plants in ...

Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 70, No. 4 (Sep., 2008), pp. 679-702 (24 pages) We propose to model multivariate volatility processes on the basis of ...