This paper investigates the benefits of jointly using several realized measures in predicting daily price volatility … significantly increases the accuracy of volatility forecasts, while in forecasting Value-at-Risk and Expected Shortfall at different …

This paper studies the volatility of electricity spot prices in the Nordic market (Sweden, Finland, Denmark, and Norway …, we provide strong evidence of nonlinear regime shifts in the volatility dynamics of these prices. Using in … importance of incorporating regime shifts into volatility models for accurately assessing and mitigating risks associated with …