The main interest of the wind speed modelling is on the short-term forecast of wind speed intensity and direction. Recently, its relationship with electricity production by wind farms has been studied. In fact, electricity producers are interested in long-range forecasts and simulation of wind...

It is well-known that the estimated GARCH dynamics exhibit common patterns. Starting from this fact the Dynamic Conditional Correlation (DCC) model is extended by allowing for a clustering structure of the univariate GARCH parameters. The model can be estimated in two steps, the first devoted to...

Several Multivariate GARCH (MGARCH) models have been proposed, and recently such MGARCH specifications have been examined in terms of their out-of-sample forecasting performance. An empirical comparison of alternative MGARCH models is provided, which focuses on the BEKK, DCC, Corrected DCC...

To model the contemporaneous relationships among Asian and American stock markets, a simultaneous equation system with GARCH errors is introduced. In the estimated residuals, the correlation matrix is analyzed over rolling windows and using a correlation matrix distance, which allows a graphical...