Forecasting of volatility and risk premia in electricity markets

By Thomas K. Kloster, Fred Espen Benth

Published 2026-06-05

Everscope rating

1644.5

Relevance to quantitative trading

8 / 10

Implementation complexity

6 / 10

Reproducibility

4 / 5

About this paper

Methodology: Matrix-HAR (Heterogeneous Autoregressive) model with DRD decomposition for realized covariation forecasting. Problem types: Time Series Forecasting, Risk Management, Regression, Portfolio Optimization.

arXiv:2606.05991 · Paper rankings

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