Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data

DOI10.1515/snde-2019-0009OpenAlexW2731197855MaRDI QIDQ2700531

Mawuli Segnon, Bernd Wilfling, Chi Keung Marco Lau, Rangan Gupta

Publication date: 27 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2019-0009

zbMATH Keywords

volatility forecastingmultifractal modelingelectricity price volatilityGARCH-type processesMarkov-switching processes

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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