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 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 ...

In order to accurately and reasonably investigate risk spillovers from the international crude oil market to the financial market, we develop a copula generalized autoregressive conditional ...