Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data

Mathematics

• Alternatives 11%
• Electricity 63%
• Evidence 38%
• Forecasting 52%
• GARCH 36%
• Integrated Process 25%
• Long Memory 22%
• Markov Switching 64%
• Model 9%
• Moving Average Process 22%
• Multifractality 14%
• Performance 5%
• Specification 24%
• Structural Breaks 14%
• Volatility 52%
• Volatility Clustering 16%

Business & Economics

• Alternatives 8%
• Autoregressive Fractionally Integrated Moving Average 28%
• Electricity Price 50%
• Forecasting Performance 10%
• GARCH 27%
• Intraday Data 60%
• Long Memory 20%
• Markov Switching 100%
• Predictive Ability 10%
• Price Volatility 47%
• Smooth Transition 11%
• Structural Breaks 9%
• Volatility Clustering 11%
• Volatility Models 10%

Social Sciences

• electricity 45%
• evidence 19%
• performance 4%