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Modelling realized volatility in electricity spot prices : new insights and application to the Japanese electricity market
Ciarreta, Aitor; Muniain, Peru; Zarraga, Ainhoa - 2017
The paper analyzes volatility of the electricity prices in the Japanese day-ahead market using realized volatility. We use several jump tests to decompose total realized variation into jump and continuous components. Then, we estimate several HAR models that show the time-dependence structure of...
Persistent link: https://www.econbiz.de/10011613916
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Analysis of volatility transmissions in integrated and interconnected markets : the case of the Iberian and French markets
Ciarreta, Aitor; Zarraga, Ainhoa - 2012
Persistent link: https://www.econbiz.de/10010417892
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Realized volatility and jump testing in the Japanese electricity spot market
Ciarreta, Aitor; Muniain, Peru; Zarraga, Ainhoa - In: Empirical economics : a journal of the Institute for … 58 (2020) 3, pp. 1143-1166
Persistent link: https://www.econbiz.de/10012219535
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Modeling and forecasting realized volatility in German-Austrian continuous intraday electricity prices
Ciarreta, Aitor; Muniain, Peru; Zarraga, Ainhoa - In: Journal of forecasting 36 (2017) 6, pp. 680-690
Persistent link: https://www.econbiz.de/10011861404
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Analysis of mean and volatility price transmissions in the MIBEL and EPEX electricity spot markets
Ciarreta, Aitor; Zarraga, Ainhoa - In: The energy journal 36 (2015) 4, pp. 41-60
Persistent link: https://www.econbiz.de/10011403877
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Modelling Realized Volatility in Electricity Spot Prices : New Insights and Application to the Japanese Electricity Market
Ciarreta, Aitor - 2017
The paper analyzes volatility of the electricity prices in the Japanese day-ahead market using realized volatility. We use several jump tests to decompose total realized variation into jump and continuous components. Then, we estimate several HAR models that show the time-dependence structure of...
Persistent link: https://www.econbiz.de/10012961444
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Renewable energy regulation and structural breaks : an empirical analysis of Spanish electricity price volatility
Ciarreta, Aitor; Pizarro-Irizar, Cristina; Zarraga, Ainhoa - In: Energy economics 88 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012515146
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Modeling realized volatility on the Spanish intra-day electricity market
Ciarreta, Aitor; Zarraga, Ainhoa - In: Energy economics 58 (2016), pp. 152-163
Persistent link: https://www.econbiz.de/10011698860
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A volatility spillover analysis with realized semi(co)variances in Australian electricity markets
Chanatásig-Niza, Evelyn; Ciarreta, Aitor; Zarraga, Ainhoa - In: Energy economics 111 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10013350089