This paper characterizes the dynamics of jumps and analyzes their importance for volatility forecasting. Using high … importance of jumps for volatility forecasting. To this end, we estimate and analyze the predictive ability of several …

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 …