Forecasting realized volatility in electricity markets using logistic smooth transition heterogeneous autoregressive models
Hui Qu, Wei Chen, Mengyi Niu, Xindan Li
| Year of publication: |
February 2016
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|---|---|
| Authors: | Qu, Hui ; Chen, Wei ; Niu, Mengyi ; Li, Xindan |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 54.2016, p. 68-76
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| Subject: | Realized volatility | Jumps | Volatility forecast | Logistic smooth transition | Heterogeneous autoregressive model | Electricity markets | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Autokorrelation | Autocorrelation | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Elektrizitätswirtschaft | Electric power industry | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2015.12.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011662756