Modeling the volatility of realized volatility to improve volatility forecasts in electricity markets
Hui Qu, Qingling Duan, Mengyi Niu
| Year of publication: |
August 2018
|
|---|---|
| Authors: | Qu, Hui ; Duan, Qingling ; Niu, Mengyi |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 74.2018, p. 767-776
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| Subject: | Volatility forecast | Heterogeneous autoregressive model | Volatility of realized volatility | Inverse leverage effect | Measurement errors | Electricity markets | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Index-Futures | Index futures | Elektrizitätswirtschaft | Electric power industry | Strompreis | Electricity price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2018.07.033 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011972967