Bart van Campen

University of Auckland - Department of Economics

Private Bag 92019

Auckland

New Zealand

SCHOLARLY PAPERS

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Scholarly Papers (1)

1.

A New Approach to Characterizing and Forecasting Electricity Price Volatility

International Journal of Forecasting, Vol. 24, No. 4, 2008
Posted: 09 Aug 2009
Kam Fong Chan, Philip Gray and Bart van Campen
The University of Western Australia, Department of Banking and Finance, Monash University and University of Auckland - Department of Economics

Abstract:

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Realized volatility, Bipower variation, Quadratic variation, Jumps, Volatility forecast