We model the dynamic volatility and correlation structure of electricity futures of the European Energy Exchange index. We use a new multiplicative dynamic conditional correlation (mDCC) model to separate long-run from short-run components. We allow for smooth changes in the unconditional...

The main purpose of this handbook is to illustrate the mathematically fundamental implementation of various volatility models in the banking and financial industries, both at home and abroad, through use of real-world, time-sensitive applications. Conceived and written by over two-dozen experts...

This paper derives conditions for the existence of fourth moments of multivariate GARCH processes in the general vector specification and gives explicit results for the fourth moments and autocovariances of the squares and cross-products. Results are provided for the kurtosis and co-kurtosis...