Modeling the daily electricity price volatility with realized measures
Year of publication: |
2014
|
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Authors: | Frömmel, Michael ; Han, Xing ; Kratochvil, Stepan |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 44.2014, p. 492-502
|
Subject: | Volatility forecasting | Intraday range | Realized GARCH | Electricity | ARCH-Modell | ARCH model | Volatilität | Volatility | Strompreis | Electricity price | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis |
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