Modeling and forecasting realized volatility in German–Austrian continuous intraday electricity prices
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DOI: 10.1002/for.2463
Abstract: This paper uses high-frequency continuous intraday electricity price data from the EPEX market to estimate and forecast realized volatility. Three different jump tests are used to break down the variation into jump and continuous components… read more here.
Keywords: realized volatility; volatility; intraday electricity; continuous intraday ... See more keywords