Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/197723 
Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
ISER Discussion Paper No. 991
Verlag: 
Osaka University, Institute of Social and Economic Research (ISER), Osaka
Zusammenfassung: 
The paper analyzes volatility of the electricity prices in the Japanese day-ahead market using realized volatility. We use several jump tests to decompose total realized variation into jump and continuous components. Then, we estimate several HAR models that show the time-dependence structure of the volatility. Our results show that even though that market is narrow, it is relevant to identify jumps in volatility. Besides, modeling residuals improve estimation results. The time-dependent structure of the prices is present in volatility as well.
Dokumentart: 
Working Paper

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