Essays about: "Philip Ahlfridh"

Found 1 essay containing the words Philip Ahlfridh.

  1. 1. Forecasting Volatility of Electricity Intraday Log Returns with Generalized Autoregressive Score Models

    University essay from Göteborgs universitet/Graduate School

    Author : Gustav Veres; Philip Ahlfridh; [2023-06-29]
    Keywords : ;

    Abstract : 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 and energy load and the actual outcome using a restricted ARMA(4,4) model. READ MORE