This paper discusses the effects of temporal aggregation on causality and forecasting in multivariate GARCH processes. It is shown that spurious instantaneous causality in variance will only appear in ...

Appropriate modeling of time-varying dependencies is very important for quantifying financial risk, such as the risk associated with a portfolio of financial assets. Most of the papers analyzing ...

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) ...

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 ...