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We apply the non-parametric realized volatility technique and the associated jump detection test to measure volatility and jumps in electricity prices. Then, we propose a group of logistic smooth transition heterogeneous autoregressive (LSTHAR) models of realized volatility. The models can simultaneously approximate long memory behavior and describe sign and size asymmetries. They differ in the underlying...
We compare a number of GARCH and stochastic volatility (SV) models using nine series of oil, petroleum product and natural gas prices in a formal Bayesian model comparison exercise. The competing models include the standard models of GARCH(1,1) and SV with an AR(1) log-volatility process, as well as more flexible models with jumps, volatility in mean, leverage effects, and t distributed and moving...
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