Common and idiosyncratic conditional volatility: Theory and empirical evidence from electricity prices
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DOI: 10.1080/07474938.2024.2357430
Abstract: Abstract. We propose and develop a robust score-driven multiplicative dynamic factor model for the conditional volatility of electricity prices. This model allows us to identify both common and idiosyncratic conditional volatility factors in the spot… read more here.
Keywords: electricity prices; idiosyncratic conditional; electricity; volatility ... See more keywords