Forecasting realized volatility in electricity markets using logistic smooth transition heterogeneous autoregressive models
Year of publication: |
February 2016
|
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Authors: | Qu, Hui ; Chen, Wei ; Niu, Mengyi ; Li, Xindan |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 54.2016, p. 68-76
|
Subject: | Realized volatility | Jumps | Volatility forecast | Logistic smooth transition | Heterogeneous autoregressive model | Electricity markets | Volatilität | Volatility | Autokorrelation | Autocorrelation | Elektrizitätswirtschaft | Electric power industry | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Theorie | Theory |
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