This paper studies the volatility of electricity spot prices in the Nordic market (Sweden, Finland, Denmark, and Norway) under regime switching. Utilizing Markov-switching GARCH (Generalized Autoregressive Conditional Heteroskedasticity) models, we provide strong evidence of nonlinear regime...

The cryptocurrency market, known for its inherent volatility, has been significantly influenced by external shocks, particularly during periods of global crises such as the COVID-19 pandemic and the Russia-Ukraine war. This study investigates the volatility of the top seven cryptocurrencies by...

To address a key issue in functional time series analysis on testing the randomness of an observed series, we propose an IID test for functional time series by generalizing the Brock-Dechert-Scheinkman (BDS) test, which is commonly used for testing nonlinear independence. Similarly to the BDS...