Modeling and forecasting realized volatility in German-Austrian continuous intraday electricity prices-Reference-Cited by-同舟云学术

Modeling and forecasting realized volatility in German-Austrian continuous intraday electricity prices

Published:2017-03-16 Issue:6 Volume:36 Page:680-690
ISSN:0277-6693
Container-title:Journal of Forecasting
language:en
Short-container-title:J. Forecast.

Author:

Ciarreta Aitor¹,Muniain Peru¹,Zarraga Ainhoa²^ORCID

Affiliation:

1. Department of Economic Analysis II; University of the Basque Country, UPV/EHU; Bilbao Spain

2. Department of Applied Economics III; University of the Basque Country, UPV/EHU; Bilbao Spain

Funder

Ministerio de Economía y Competitividad and Fondo Europeo de Desarrollo Regional

Departamento de Educación, Universidades e Investigación del Gobierno Vasco

Departamento de Educación, Política Lingüística y Cultura del Gobierno Vasco. Grant: Beca Predoctoral de Formación de Personal Investigador no Doctor

Publisher

Wiley

Subject

Management Science and Operations Research,Statistics, Probability and Uncertainty,Strategy and Management,Computer Science Applications,Modeling and Simulation

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/for.2463/fullpdf

Reference17 articles.

1. Roughing it up: Including jump components in the measurement, modelling and forecasting of return volatility;Andersen;Review of Economics and Statistics,2007

2. Modelling and forecasting realized volatility;Andersen;Econometrica,2003

3. Jump-robust volatility estimation using nearest neighbor truncation;Andersen;Journal of Econometrics,2012

4. Power and bipower variation with stochastic volatility and jumps;Barndorff-Nielsen;Journal of Financial Econometrics,2004

5. Econometrics of testing for jumps in financial economics using bipower variation;Barndorff-Nielsen;Journal of Financial Econometrics,2006

Cited by 22 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Measuring crisis from climate risk spillovers in European electricity markets;Energy Economics;2024-06

2. Adding dummy variables: A simple approach for improved volatility forecasting in electricity market;Journal of Management Science and Engineering;2023-06

3. Forecasting different dimensions of liquidity in the intraday electricity markets: A review;AIMS Energy;2023

4. Do jumps and cojumps matter for electricity price forecasting? Evidence from the German-Austrian day-ahead market;Electric Power Systems Research;2022-11

5. Futures volatility forecasting based on big data analytics with incorporating an order imbalance effect;International Review of Financial Analysis;2022-10