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Estimating the Volatility of Wholesale Electricity Spot Prices in the US
15 references·11 citing·35 second hopsampled
Estimating the Volatility of Wholesale Electricity Spot Prices in the US (2004)Estimating the Volatility of Wholesale El…The hedging performance of electricity futures on the Nordic power exchange (2003)The hedging performance of el…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets (2002)Equilibrium Pricing and Optim…What good is a volatility model? (2001)What good is a volatility mod…Measuring Duopoly Power in the British Electricity Spot Market (1999)Measuring Duopoly Power in th…Stock returns and volatility a firm-level analysis (1995)Stock returns and volatility …Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Stock Price Dynamics and Firm Size: An Empirical Investigation (1992)Stock Price Dynamics and Firm…No news is good news (1992)No news is good newsNo News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns (1991)No News is Good News: An Asym…Expected stock returns and volatility (1987)Expected stock returns and vo…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Modeling the volatility of realized volatility to improve volatility forecasts in electricity markets (2018)Modeling the volatility of re…Asymmetric volatility in European day-ahead power markets: A comparative microeconomic analysis (2016)Asymmetric volatility in Euro…Realized volatility and price spikes in electricity markets: The importance of observation frequency (2012)Realized volatility and price…Forecasting spot price volatility using the short-term forward curve (2012)Forecasting spot price volati…Realized volatility and the influence of market measures on predictability: Analysis of Nord Pool forward electricity data (2011)Realized volatility and the i…Volatility transmission and volatility impulse response functions in European electricity forward markets (2010)Volatility transmission and v…Volatility and Volume Effects in European Electricity Spot Markets (2010)Volatility and Volume Effects…Seasonal factors and outlier effects in rate of return on electricity spot prices in Australia's National Electricity Market (2009)Seasonal factors and outlier …Modelling price and volatility inter-relationships in the Australian wholesale spot electricity markets (2009)Modelling price and volatilit…A TARCH examination of the return volatility–volume relationship in electricity futures (2006)A TARCH examination of the re…Systematic Features of High-Frequency Volatility in Australian Electricity Markets: Intraday Patterns, Information Arrival and Calendar Effects (2005)Systematic Features of High-F…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Time Series Analysis: Forecasting and Control (1977)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The distribution of realized stock return volatility (2001)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Illiquidity and stock returns: cross-section and time-series effects (2002)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Emerging equity market volatility (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Noncooperative Collusion under Imperfect Price Information (1984)Chapter 17 Empirical studies of industries with market power (1989)Supply Function Equilibria in Oligopoly under Uncertainty (1989)Strategic Bidding in a Multiunit Auction: An Empirical Analysis of Bids to Supply Electricity in England and Wales (1998)A New Way to Measure Competition (2008)Understanding strategic bidding in multi‐unit auctions: a case study of the Texas electricity spot market (2008)The Determinants of Firms' Hedging Policies (1985)Managerial discretion and optimal financing policies (1990)Risk Management: Coordinating Corporate Investment and Financing Policies (1993)A spot market model for pricing derivatives in electricity markets (2004)Limits to arbitrage and hedging: Evidence from commodity markets (2013)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)New frontiers for arch models (2002)Striking oil: Another puzzle? 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this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 1992No news is good news1,929 cited
  • 2003Forecasting Volatility in Financial Markets: A Review1,373 cited
  • 1999Measuring Duopoly Power in the British Electricity Spot Market744 cited
  • 2002Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets726 cited
  • 2001What good is a volatility model?691 cited
  • 1991No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns623 cited
  • 2003Forecasting Volatility in Financial Markets: A Review545 cited
  • 1995Stock returns and volatility a firm-level analysis391 cited
  • 1992Stock Price Dynamics and Firm Size: An Empirical Investigation246 cited
  • 2003The hedging performance of electricity futures on the Nordic power exchange111 cited

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Cited by

  • 2009Modelling price and volatility inter-relationships in the Australian wholesale spot electricity markets86 cited
  • 2005Systematic Features of High-Frequency Volatility in Australian Electricity Markets: Intraday Patterns, Information Arrival and Calendar Effects74 cited
  • 2010Volatility transmission and volatility impulse response functions in European electricity forward markets61 cited
  • 2018Modeling the volatility of realized volatility to improve volatility forecasts in electricity markets45 cited
  • 2012Realized volatility and price spikes in electricity markets: The importance of observation frequency45 cited
  • 2011Realized volatility and the influence of market measures on predictability: Analysis of Nord Pool forward electricity data40 cited
  • 2016Asymmetric volatility in European day-ahead power markets: A comparative microeconomic analysis31 cited
  • 2006A TARCH examination of the return volatility–volume relationship in electricity futures31 cited
  • 2010Volatility and Volume Effects in European Electricity Spot Markets30 cited
  • 2009Seasonal factors and outlier effects in rate of return on electricity spot prices in Australia's National Electricity Market29 cited
  • 2012Forecasting spot price volatility using the short-term forward curve29 cited