Modelling and forecasting the volatility of the Nordic power market : an application of the GARCH-jump process
Anupam Dutta
| Year of publication: |
2022
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|---|---|
| Authors: | Dutta, Anupam |
| Published in: |
Revisiting Electricity Market Reforms : Lessons for ASEAN and East Asia. - Singapore : Springer Nature Singapore, ISBN 978-981-19-4266-2. - 2022, p. 143-158
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| Subject: | GARCH-jump model | Nordic power market | Outliers | Time-varying jumps | Volatility forecasts | Volatilität | Volatility | Nordeuropa | Northern Europe | Prognoseverfahren | Forecasting model | Energiemarkt | Energy market | ARCH-Modell | ARCH model | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1007/978-981-19-4266-2_6 [DOI] |
| Classification: | C5 - Econometric Modeling ; Q4 - Energy |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013447658