Comincioli, Nicola; Vergalli, Sergio - 2020
’s volatility. This effect has been investigated after having removed, from electricity data time series, the periodic behavior …, through a multiple linear regression. Then, to study volatility dynamics, we fit a two-states Markov-switching model to … represent a high-volatility and a low-volatility states of the world. This model highlighted that in both states the level of …