Forecasting spot price volatility using the short-term forward curve
Erik Haugom; Carl J. Ullrich
| Year of publication: |
2012
|
|---|---|
| Authors: | Haugom, Erik ; Ullrich, Carl J. |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 34.2012, 6, p. 1826-1833
|
| Subject: | Volatility forecasting | Realized volatility | Implied volatility | Forward prices | Electricity markets | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Strompreis | Electricity price | Theorie | Theory | ARCH-Modell | ARCH model | Derivat | Derivative | Spotmarkt | Spot market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009687854