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Common and idiosyncratic conditional volatility : theory and empirical evidence from electricity prices

Francisco Blasques, Enzo D'Innocenzo, and Siem Jan Koopman
Year of publication:
2024
Authors: Blasques, Francisco ; D'Innocenzo, Enzo ; Koopman, Siem Jan
Subject: Volatilität | Volatility | Strompreis | Electricity price | ARCH-Modell | ARCH model | Schätzung | Estimation | Theorie | Theory
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