Are multifractal processes suited to forecasting electricity price volatility? : evidence from Australian intraday data
Mawuli Segnon, Chi Keung Lau, Bernd Wilfling and Rangan Gupta
| Year of publication: |
2022
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| Authors: | Segnon, Mawuli ; Lau, Chi Keung ; Wilfling, Bernd ; Gupta, Rangan |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 26.2022, 1, p. 73-98
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| Subject: | electricity price volatility | GARCH-type processes | Markov-switching processes | multifractal modeling | volatility forecasting | Volatilität | Volatility | Strompreis | Electricity price | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Australien | Australia | ARCH-Modell | ARCH model | Börsenkurs | Share price | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2019-0009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013334628