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q-fin.GN2026
Forecasting of volatility and risk premia in electricity markets
Thomas K. Kloster, Fred Espen Benth
We study forecasting of the realized covariation in electricity markets. The realized covariation in this context is a matrix-valued representation of the latent infinite-dimension…
q-fin.GN2026
The fine structure of electricity price volatility
Thomas K. Kloster, Fred Espen Benth
We conduct the first rigorous study of electricity price volatility for the full panel of electricity prices across three European generation zones. By interpreting the observed da…