Discover how multivariate models use multiple variables for investment forecasting, risk analysis, and decision-making in ...

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

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 ...

There are several approaches to dealing with heteroscedasticity. If the error variance at different times is known, weighted regression is a good method. If, as is ...

Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...