Realized volatility and jump testing in the Japanese electricity spot market
Aitor Ciarreta, Peru Muniain, Ainhoa Zarraga
| Year of publication: |
2020
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|---|---|
| Authors: | Ciarreta, Aitor ; Muniain, Peru ; Zarraga, Ainhoa |
| Published in: |
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria. - Berlin : Springer, ISSN 0377-7332, ZDB-ID 519394-1. - Vol. 58.2020, 3, p. 1143-1166
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| Subject: | Realized volatility | Jump tests | Heterogeneous autoregressive models | Electricity markets | GARCH | Volatilität | Volatility | Japan | ARCH-Modell | ARCH model | Elektrizitätswirtschaft | Electric power industry | Strompreis | Electricity price | Spotmarkt | Spot market | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00181-018-1577-6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012219535