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 estimates a vector autoregression (VAR) ...

This is a preview. Log in through your library . Abstract We establish the strong consistency and asymptotic normality of the quasi-maximum likelihood estimator (QMLE) of the parameters of a class of ...

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 ...

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those ...

Volatility forecasting is a key component of modern finance, used in asset allocation, risk management, and options pricing. Investors and traders rely on precise volatility models to optimize ...