Stepan Kratochvil

Czech Technical University in Prague - Faculty of Electrical Engineering

Technicka 2

Prague, 166 27

Czech Republic

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Modeling the Daily Electricity Price Volatility with Realized Measures

Number of pages: 22 Posted: 17 Sep 2013
Michael Frömmel, Xing Han and Stepan Kratochvil
Ghent University - Department of Financial Economics, University of Auckland Business School and Czech Technical University in Prague - Faculty of Electrical Engineering
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Abstract:

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volatility forecasting, intra-day range, Realized GARCH, electricity