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Modeling realized volatility on the Spanish intra-day electricity market
15 references·1 citing·41 second hop
Modeling realized volatility on the Spanish intra-day electricity market (2016)Modeling realized volatility on the Spani…Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence? (2014)Structural breaks in volatili…Modeling the daily electricity price volatility with realized measures (2014)Modeling the daily electricit…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…The Volatility of Realized Volatility (2008)The Volatility of Realized Vo…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…A new approach to characterizing and forecasting electricity price volatility (2008)A new approach to characteriz…The Relative Contribution of Jumps to Total Price Variance (2005)The Relative Contribution of …Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …The Distribution of Exchange Rate Volatility (1999)The Distribution of Exchange …Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…A volatility spillover analysis with realized semi(co)variances in Australian electricity markets (2022)A volatility spillover analys…Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Realized Variance and Market Microstructure Noise (2006)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Interdependence of foreign exchange markets: A wavelet coherence analysis (2016)Forecasting global equity market volatilities (2020)Quantifying the asymmetric spillovers in sustainable investments (2021)The Behavior of Stock-Market Prices (1965)Consistent ranking of volatility models (2005)Forecasting Financial Volatilities with Extreme Values: The Conditional Autoregressive Range (CARR) Model (2005)Brownian Motion and Stochastic Calculus (2007)Realising the future: forecasting with high‐frequency‐based volatility (HEAVY) models (2010)A long memory property of stock market returns and a new model (1993)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Multivariate high‐frequency‐based volatility (HEAVY) models (2011)Volatility transmission in emerging European foreign exchange markets (2011)Forecasting realized volatility in a changing world: A dynamic model averaging approach (2015)Coherent Measures of Risk (1999)The Cross‐Section of Volatility and Expected Returns (2006)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Specification Tests in Econometrics (1978)Model Specification and Risk Premia: Evidence from Futures Options (2007)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Numerical solution of stochastic differential equations (2016)Finance and Economics Discussion Series (2022)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)The distribution of realized stock return volatility (2001)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Econometric Analysis of Cross Section and Panel Data (2001)
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References

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  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
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  • 2008A new approach to characterizing and forecasting electricity price volatility84 cited
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  • 2011Realized volatility and the influence of market measures on predictability: Analysis of Nord Pool forward electricity data40 cited
  • 2014Modeling the daily electricity price volatility with realized measures40 cited

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2012
Forecasting spot price volatility using the short-term forward curve
29 cited

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  • 2022A volatility spillover analysis with realized semi(co)variances in Australian electricity markets19 cited