Search for dissertations about: "skew-Student asymmetric BEKK"

Found 1 swedish dissertation containing the words skew-Student asymmetric BEKK.

  1. 1. Multivariate Modelling of Energy Markets

    Author : Veronika Lunina; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; energy markets; volatility spillover; skew-Student asymmetric BEKK; volatility impulse response function; temperature; hydrobalance; electricity;

    Abstract : This thesis contributes to the empirical energy finance literature and consists of three research papers. The common denominator for all papers is the multivariate modelling approach, placing the electricity market at the core and delving into its interdependencies on fundamentally related markets and factors. READ MORE