Browsing Master theses by Author "Veres, Gustav"
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Forecasting Volatility of Electricity Intraday Log Returns with Generalized Autoregressive Score Models
Veres, Gustav; Ahlfridh, Philip (2023-06-29)We forecast volatility of electricity intraday log returns with Generalized Autoregressive Score (GAS) models. We extend our GAS models with variables representing the difference between the public’s expectation of weather ...