GARCH-type Processes in Modeling Energy Prices

Irina Khindanova, Zauresh Atakhanova, Svetlozar Rachev

Research output: Chapter in Book/Report/Conference proceedingChapter (peer-reviewed)

Original languageEnglish
Title of host publicationHandbook of Computational and Numerical Methods in Finance
EditorsGeorge Anastassiou, Svetlozar Rachev
PublisherBirkhauser Verlag Basel
Pages71-110
ISBN (Print)978-0-8176-3219-9
DOIs
Publication statusPublished - 2004

Keywords

  • Energy prices, fat tails, stable distributions, Value-at-Risk, time series modeling

Cite this

Khindanova, I., Atakhanova, Z., & Rachev, S. (2004). GARCH-type Processes in Modeling Energy Prices. In G. Anastassiou, & S. Rachev (Eds.), Handbook of Computational and Numerical Methods in Finance (pp. 71-110). Birkhauser Verlag Basel. https://doi.org/10.1007/978-0-8176-8180-7