SPDE-based estimators applied to three European electricity markets reveal distinct volatility drivers per zone and no general asymmetric response to price shocks after state-variable conditioning.
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Matrix-HAR model with multi-horizon lags and renewable generation inputs improves one-week forecasts of realized covariation and spread risk premia versus standard backward-looking volatility methods in electricity markets.
citing papers explorer
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The fine structure of electricity price volatility
SPDE-based estimators applied to three European electricity markets reveal distinct volatility drivers per zone and no general asymmetric response to price shocks after state-variable conditioning.
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Forecasting of volatility and risk premia in electricity markets
Matrix-HAR model with multi-horizon lags and renewable generation inputs improves one-week forecasts of realized covariation and spread risk premia versus standard backward-looking volatility methods in electricity markets.