intraday markets is proven to be an effective volatility control mechanism. However, the price stabilizing effect of hydropower …

weather conditions. To account for the uncertainty in predicting wind power production, this article examines the volatility …-switching GARCH (MRS-GARCH) model on forecasting volatility of wind power. The realized volatility, which is derived from lower …-scale data, serves as a benchmark for the latent volatility. We find that the MRS-GARCH model significantly outperforms …

This paper characterizes the dynamics of jumps and analyzes their importance for volatility forecasting. Using high … importance of jumps for volatility forecasting. To this end, we estimate and analyze the predictive ability of several …

In this paper we first analyze the stylized facts of electricity prices, in particular, the extreme volatility and …