In the past decade, the popularity of realized measures and various linear models for volatility forecasting has attracted attention in the literature on the price variability of energy markets. However, results that would guide practitioners to a specific estimator and model when aiming for the...

Forecasting plays an essential role in energy economics. With new challenges and use cases in the energy system, forecasts have to meet more complex requirements, such as increasing temporal and spatial resolution of data. The concept of machine learning can meet these requirements by providing...