Haugom, Erik; Westgaard, Sjur; Solibakke, Per Bjarte; … - In: Energy Economics 33 (2011) 6, pp. 1206-1215
This is the first paper to utilize intra-daily high-frequency data and to apply known market measures for the prediction of volatility in the Nord Pool electricity forward market. The work is based on recent methods of separating realized volatility into two components: continuous and jump...