Modeling and forecasting realized volatility in German–Austrian continuous intraday electricity prices

DOI10.1002/FOR.2463zbMath1397.62302OpenAlexW2595826589MaRDI QIDQ4687629

Peru Muniain, Aitor Ciarreta, Ainhoa Zarraga

Publication date: 12 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2463

zbMATH Keywords

jumpsGARCHrealized volatilityelectricity priceheterogeneous autoregressive models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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