Modeling realized volatility on the Spanish intra-day electricity market
Year of publication: |
August 2016
|
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Authors: | Ciarreta, Aitor ; Zarraga, Ainhoa |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 58.2016, p. 152-163
|
Subject: | Realized volatility | Intra-day electricity market | HAR model | Jumps | EGARCH | Spanien | Spain | Volatilität | Volatility | Elektrizitätswirtschaft | Electric power industry | ARCH-Modell | ARCH model | Schätzung | Estimation |
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