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Forecasting realized volatility in electricity markets using logistic smooth transition heterogeneous autoregressive models
Qu, Hui; Chen, Wei; Niu, Mengyi; Li, Xindan - In: Energy economics 54 (2016), pp. 68-76
Persistent link: https://www.econbiz.de/10011662756
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Equation-by-equation estimation of multivariate periodic electricity price volatility
Escribano, Álvaro; Sucarrat, Genaro - In: Energy economics 74 (2018), pp. 287-298
Persistent link: https://www.econbiz.de/10011972846
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Modeling the volatility of realized volatility to improve volatility forecasts in electricity markets
Qu, Hui; Duan, Qingling; Niu, Mengyi - In: Energy economics 74 (2018), pp. 767-776
Persistent link: https://www.econbiz.de/10011972967