Projecting and Forecasting the Latent Volatility for the Nasdaq OMX Nordic/Baltic Financial Electricity Market Applying Stochastic Volatility Market Characteristics

In this empirical study, multifactor stochastic volatility models for the financial Nordic/Baltic power markets are developed, implemented, and analyzed. Stochastic volatility projections are the primary aim, followed by volatility forecasts and market repercussions. The research provides a function...

Ausführliche Beschreibung

Bibliografische Detailangaben

1. Verfasser:	Per Bjarte Solibakke
Format:	Artigo
Sprache:	Inglês
Veröffentlicht:	MDPI AG 2022-05-01
Schriftenreihe:	Energies
Schlagworte:	forecasting Markov Chain Monte Carlo (MCMC-GMM) estimation nonlinear Kalman filter stochastic volatility
Online-Zugang:	https://www.mdpi.com/1996-1073/15/10/3839
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