Modeling the volatility of realized volatility to improve volatility forecasts in electricity markets
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DOI: 10.1016/j.eneco.2018.07.033
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Citations
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- Do, Hung Xuan & Nepal, Rabindra & Jamasb, Tooraj, 2020.
"Electricity market integration, decarbonisation and security of supply: Dynamic volatility connectedness in the Irish and Great Britain markets,"
Energy Economics, Elsevier, vol. 92(C).
- Do, Hung & Nepal, Rabindra & Jamasb, Tooraj, 2020. "Electricity Market Integration, Decarbonisation and Security of Supply: Dynamic Volatility Connectedness in the Irish and Great Britain Markets," Working Papers 3-2020, Copenhagen Business School, Department of Economics.
- Hung Do & Rabindra Nepal & Tooraj Jamasb, 2020. "Electricity market integration, decarbonisation and security of supply: Dynamic volatility connectedness in the Irish and Great Britain markets," CAMA Working Papers 2020-42, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Hung Do & Rabindra Nepal & Tooraj Jamasb, 2020. "Electricity Market Integration, Decarbonisation and Security of Supply: Dynamic Volatility Connectedness in the Irish and Great Britain Markets," Working Papers EPRG2003, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge.
- Do, H. & Nepal, R. & Jamasb, T., 2020. "Electricity Market Integration, Decarbonisation and Security of Supply: Dynamic Volatility Connectedness in the Irish and Great Britain Markets," Cambridge Working Papers in Economics 2007, Faculty of Economics, University of Cambridge.
- Antonio Naimoli & Giuseppe Storti, 2021. "Forecasting Volatility and Tail Risk in Electricity Markets," JRFM, MDPI, vol. 14(7), pages 1-17, June.
- Carlo Andrea Bollino & Maria Chiara D’Errico, 2022. "Electricity Demand Elasticity, Mobility, and COVID-19 Contagion Nexus in the Italian Day-Ahead Electricity Market," Energies, MDPI, vol. 15(20), pages 1-26, October.
- André Luis da Silva Leite & Marcus Vinicius Andrade de Lima, 2023. "A GARCH Model to Understand the Volatility of the Electricity Spot Price in Brazil," International Journal of Energy Economics and Policy, Econjournals, vol. 13(5), pages 332-338, September.
- Afees A. Salisu & Rangan Gupta & Ahamuefula E. Ogbonna, 2022.
"A moving average heterogeneous autoregressive model for forecasting the realized volatility of the US stock market: Evidence from over a century of data,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 384-400, January.
- Afees A. Salisu & Rangan Gupta & Ahamuefula E. Ogbonna, 2019. "A Moving Average Heterogeneous Autoregressive Model for Forecasting the Realized Volatility of the US Stock Market: Evidence from Over a Century of Data," Working Papers 201978, University of Pretoria, Department of Economics.
- Hasanov, Akram Shavkatovich & Shaiban, Mohammed Sharaf & Al-Freedi, Ajab, 2020. "Forecasting volatility in the petroleum futures markets: A re-examination and extension," Energy Economics, Elsevier, vol. 86(C).
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- Hasnain Iftikhar & Josue E. Turpo-Chaparro & Paulo Canas Rodrigues & Javier Linkolk López-Gonzales, 2023. "Forecasting Day-Ahead Electricity Prices for the Italian Electricity Market Using a New Decomposition—Combination Technique," Energies, MDPI, vol. 16(18), pages 1-23, September.
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- Faheem Jan & Ismail Shah & Sajid Ali, 2022. "Short-Term Electricity Prices Forecasting Using Functional Time Series Analysis," Energies, MDPI, vol. 15(9), pages 1-15, May.
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More about this item
Keywords
Volatility forecast; Heterogeneous autoregressive model; Volatility of realized volatility; Inverse leverage effect; Measurement errors; Electricity markets;All these keywords.
JEL classification:
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- L94 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Electric Utilities
- Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting
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