Linear time-varying regression with copula–DCC–asymmetric–GARCH models for volatility: the co-movement between industrial electricity demand and financial factors-Reference-Cited by-同舟云学术

Linear time-varying regression with copula–DCC–asymmetric–GARCH models for volatility: the co-movement between industrial electricity demand and financial factors

Published:2022-06-15 Issue:3 Volume:55 Page:255-272
ISSN:0003-6846
Container-title:Applied Economics
language:en
Short-container-title:Applied Economics

Author:

Kim Yunsun¹,Hwang Sun-Young²,Kim Jong-Min³,Kim Sahm⁴

Affiliation:

1. Hyundai Motor Group, Seoul, Korea

2. Department of Statistics, Sookmyung Women's University, Seoul, Korea

3. Division of Science and Mathematics, University of Minnesota at Morris, Morris, MN, USA

4. Department of Statistics, Chung-Ang University, Seoul, Korea

Funder

Korea Institute of Energy Technology Evaluation and Planning

National Research Foundation of Korea

Publisher

Informa UK Limited

Subject

Economics and Econometrics

Link

https://www.tandfonline.com/doi/pdf/10.1080/00036846.2022.2086684

Reference29 articles.

1. Heterogeneous dependence and dynamic hedging between sectors of BRIC and global markets

2. Black, F. 1976. “Studies of Stock Market Volatility Changes.” Meeting of the Business and Economic Statistics Section, American Statistical Association, Washington, DC.

3. Generalized autoregressive conditional heteroskedasticity

4. ARCH modeling in finance

5. Uncovering equity market contagion among BRICS countries: An application of the multivariate GARCH model

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