Adding dummy variables : a simple approach for improved volatility forecasting in electricity market
Year of publication: |
2023
|
---|---|
Authors: | Gong, Xu ; Lin, Boqiang |
Published in: |
Journal of management science and engineering. - Amsterdam : Elsevier, ISSN 2589-5532, ZDB-ID 2972364-4. - Vol. 8.2023, 2, p. 191-213
|
Subject: | Day-of-the-week effects | Electricity market | Realized volatility | Structural breaks | Volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Elektrizitätswirtschaft | Electric power industry | Strukturbruch | Structural break | Elektrizität | Electricity | ARCH-Modell | ARCH model | Strompreis | Electricity price |
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