Modeling and Forecasting the Distribution of Energy Forward Returns - Evidence from the Nordic Power Exchange
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More about this item
Keywords
Volatility; Realized GARCH; High-Frequency Data; Electricity; Power; Forecasting; Realized Variance; Realized Kernel; Model Confidence Set; Predictive Likelihood;All these keywords.
JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- C80 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ENE-2013-06-16 (Energy Economics)
- NEP-FOR-2013-06-16 (Forecasting)
- NEP-RMG-2013-06-16 (Risk Management)
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