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Derivative
Luc Bauwens
;
Christian M. Hafner
;
Diane Pierret
MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES (replication data)
We model the dynamic volatility and correlation structure of electricity futures of the European Energy Exchange index. We use a new multiplicative dynamic conditional...
DOI:10.15456/jae.2022320.0732188544
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