{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,17]],"date-time":"2026-08-17T14:45:00Z","timestamp":1786977900797,"version":"build-2736575974"},"reference-count":38,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2012,5,18]],"date-time":"2012-05-18T00:00:00Z","timestamp":1337299200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2013,8]]},"abstract":"<jats:title>SUMMARY<\/jats:title>\n                  <jats:p>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\u2010run from short\u2010run components. We allow for smooth changes in the unconditional volatilities and correlations through a multiplicative component that we estimate nonparametrically. For the short\u2010run dynamics, we use a GJR\u2010GARCH model for the conditional variances and augmented DCC models for the conditional correlations. We also introduce exogenous variables to account for congestion and delivery date effects in short\u2010term conditional variances. We find different correlation dynamics for long\u2010 and short\u2010term contracts and the new model achieves higher forecasting performance compared \\to a standard DCC model. Copyright \u00a9 2012 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.2280","type":"journal-article","created":{"date-parts":[[2012,5,18]],"date-time":"2012-05-18T00:07:35Z","timestamp":1337299655000},"page":"743-761","source":"Crossref","is-referenced-by-count":42,"title":["MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES"],"prefix":"10.1002","volume":"28","author":[{"given":"Luc","family":"Bauwens","sequence":"first","affiliation":[{"name":"Universit\u00e9 catholique de Louvain CORE Louvain\u2010la\u2010Neuve Belgium"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Christian M.","family":"Hafner","sequence":"additional","affiliation":[{"name":"Universit\u00e9 catholique de Louvain CORE Louvain\u2010la\u2010Neuve Belgium"},{"name":"Universit\u00e9 catholique de Louvain ISBA Louvain\u2010la\u2010Neuve Belgium"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Diane","family":"Pierret","sequence":"additional","affiliation":[{"name":"Universit\u00e9 catholique de Louvain ISBA Louvain\u2010la\u2010Neuve Belgium"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2012,5,18]]},"reference":[{"key":"e_1_2_9_2_1","unstructured":"AielliG.2009.Dynamic conditional correlations: on properties and estimation. 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