Appropriate modeling of time-varying dependencies is very important for quantifying financial risk, such as the risk associated with a portfolio of financial assets. Most of the papers analyzing ...
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 ...
The issue of finite-sample inference in Generalised Autoregressive Conditional Heteroskedasticity (GARCH)-like models has seldom been explored in the theoretical literature, although its potential ...
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