Concepedia

Realized Volatility and Price Spikes in Electricity Markets: The Importance of Observation Frequency

Carl J. Ullrich

SSRN Electronic Journal · 2009 · 11 citations · 31 references

DOIFull text

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Concepts

References

31

The distribution of realized stock return volatility

Torben G. Andersen · Journal of Financial Economics · 2001 · 2.4K citations

, , +12

The Distribution of Realized Exchange Rate Volatility

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold et al. · Journal of the American Statistical Association · 2001 · 2.2K citations

, , +17

Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics

Ole E. Barndorff–Nielsen, Neil Shephard · Econometrica · 2004 · 948 citations

, , +17

The Relative Contribution of Jumps to Total Price Variance

Xin Huang · Journal of Financial Econometrics · 2005 · 857 citations

, , +17

Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets

Hendrik Bessembinder, Michael L. Lemmon · The Journal of Finance · 2002 · 712 citations

, , +15