Gong, Xu; Lin, Boqiang - In: Journal of management science and engineering 8 (2023) 2, pp. 191-213
This study used dummy variables to measure the influence of day-of-the-week effects and structural breaks on volatility. Considering day-of-the-week effects, structural breaks, or both, we propose three classes of HAR models to forecast electricity volatility based on existing HAR models. The...
