Are multifractal processes suited to forecasting electricity price volatility? : evidence from Australian intraday data
Year of publication: |
2022
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Authors: | Segnon, Mawuli ; Lau, Chi Keung ; Wilfling, Bernd ; Gupta, Rangan |
Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 26.2022, 1, p. 73-98
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Subject: | electricity price volatility | GARCH-type processes | Markov-switching processes | multifractal modeling | volatility forecasting | Volatilität | Volatility | Strompreis | Electricity price | Prognoseverfahren | Forecasting model | Australien | Australia | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process |
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