Forecasting volatility and tail risk in electricity markets
Year of publication: |
2021
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Authors: | Naimoli, Antonio ; Storti, Giuseppe |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 14.2021, 7, Art.-No. 294, p. 1-17
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Subject: | electricity prices | expected shortfall | realized GARCH | value-at-risk | volatility forecasting | ARCH-Modell | ARCH model | Volatilität | Volatility | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Strompreis | Electricity price | Elektrizitätswirtschaft | Electric power industry |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm14070294 [DOI] hdl:10419/258398 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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