Energy · 2015 · 63 citations · 39 references
BusinessEconomicsEnergy EconomicsStochastic ModelingStochastic ProcessesCarbon Emissions ManagementCarbon MarketsCarbon PricingDependence ModelingNatural Gas Market EconomicsRenewable EnergyCopula EstimationCopula ModelsCopula-based ForecastingEnergy Futures MarketsEnergy Price Volatility ModelingStochastic Energy ModelingWholesale Energy Markets
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Generalized autoregressive conditional heteroskedasticity
Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text
Business, Finance, Econometrics +11
Dynamic Conditional Correlation
Robert F. Engle · Journal of Business and Economic Statistics · 2002 · 7.1K citations
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MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*
Andrew J. Patton · International Economic Review · 2006 · 2.1K citations