VOLATILITY AND LIQUIDITY ON HIGH-FREQUENCY ELECTRICITY FUTURES MARKETS: EMPIRICAL ANALYSIS AND STOCHASTIC MODELING (Q3304218)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | VOLATILITY AND LIQUIDITY ON HIGH-FREQUENCY ELECTRICITY FUTURES MARKETS: EMPIRICAL ANALYSIS AND STOCHASTIC MODELING |
scientific article |
Statements
VOLATILITY AND LIQUIDITY ON HIGH-FREQUENCY ELECTRICITY FUTURES MARKETS: EMPIRICAL ANALYSIS AND STOCHASTIC MODELING (English)
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5 August 2020
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volatility
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liquidity
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electricity futures
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high-frequency prices
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stochastic modeling
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Monte Carlo simulation
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time-weighted realized variance
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