Work

Forecasting realized volatility in electricity markets using logistic smooth transition heterogeneous autoregressive models

Year: 2015

Type: article

Source: Energy Economics

DOI: 10.1016/j.eneco.2015.12.001

Authors: Hui Qu, Wei Chen, Mengyi Niu, Xindan Li

Institutions: Nanjing University, Columbia University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funders: National Natural Science Foundation of China, Natural Science Foundation of Jiangsu Province, Specialized Research Fund for the Doctoral Program of Higher Education of China

Awards: G5072544640, 基于高频数据的金融波动率建模研究, G8731975820

OpenAlex ID: W2196322729

FWCI: 3.191

Cites: 33

Cited by: 23

Related to: 10