Intraday Volatility in Energy Markets
A model for volatility transmission in international energy markets is presented, showing that volatility is influenced by regional and preceding volatility, with non-Gaussian innovations enhancing the model's accuracy.
Featured in No. 59 on 31 Jul 2024 · 2 days after release
- Released
- 29 Jul 2024
- First featured
- No. 59 · 31 Jul 2024
- Published in
- Not yet, as far as Semantic Scholar knows
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- Identifier
- SSRN 4908775
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