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Modeling and forecasting realized volatility in German–Austrian continuous intraday electricity prices

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  • Aitor Ciarreta
  • Peru Muniain
  • Ainhoa Zarraga

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  • Aitor Ciarreta & Peru Muniain & Ainhoa Zarraga, 2017. "Modeling and forecasting realized volatility in German–Austrian continuous intraday electricity prices," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(6), pages 680-690, September.
    • Handle: RePEc:wly:jforec:v:36:y:2017:i:6:p:680-690
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    Cited by:

    1. Ding, Shusheng & Cui, Tianxiang & Zhang, Yongmin, 2022. "Futures volatility forecasting based on big data analytics with incorporating an order imbalance effect," International Review of Financial Analysis, Elsevier, vol. 83(C).
    2. Grzegorz Marcjasz & Bartosz Uniejewski & Rafał Weron, 2020. "Beating the Naïve—Combining LASSO with Naïve Intraday Electricity Price Forecasts," Energies, MDPI, vol. 13(7), pages 1-16, April.
    3. Xiafei Li & Dongxin Li & Xuhui Zhang & Guiwu Wei & Lan Bai & Yu Wei, 2021. "Forecasting regular and extreme gold price volatility: The roles of asymmetry, extreme event, and jump," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1501-1523, December.
    4. Aitor Ciarreta & Peru Muniain & Ainhoa Zarraga, 2020. "Realized volatility and jump testing in the Japanese electricity spot market," Empirical Economics, Springer, vol. 58(3), pages 1143-1166, March.
    5. Qu, Hui & Duan, Qingling & Niu, Mengyi, 2018. "Modeling the volatility of realized volatility to improve volatility forecasts in electricity markets," Energy Economics, Elsevier, vol. 74(C), pages 767-776.
    6. Chen, Wang & Ma, Feng & Wei, Yu & Liu, Jing, 2020. "Forecasting oil price volatility using high-frequency data: New evidence," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 1-12.
    7. Chi Zhang & Zhengning Pu & Jiasha Fu, 2018. "The Recurrence Interval Difference of Power Load in Heavy/Light Industries of China," Energies, MDPI, vol. 11(1), pages 1-20, January.
    8. Serafin, Tomasz & Marcjasz, Grzegorz & Weron, Rafał, 2022. "Trading on short-term path forecasts of intraday electricity prices," Energy Economics, Elsevier, vol. 112(C).
    9. Ilkay Oksuz & Umut Ugurlu, 2019. "Neural Network Based Model Comparison for Intraday Electricity Price Forecasting," Energies, MDPI, vol. 12(23), pages 1-14, November.
    10. Rainer Baule & Michael Naumann, 2021. "Volatility and Dispersion of Hourly Electricity Contracts on the German Continuous Intraday Market," Energies, MDPI, vol. 14(22), pages 1-24, November.

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