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Systematic Features Of High Frequency Volatility In Australian Electricity Markets: Intraday Patterns, Information Arrival And Calendar Effects

Higgs, Helen & Worthington, Andrew (2005) Systematic Features Of High Frequency Volatility In Australian Electricity Markets: Intraday Patterns, Information Arrival And Calendar Effects. The Energy Journal, 26(4), pp. 23-41.

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19 citations in Scopus
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8 citations in Web of Science®

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ID Code: 22151
Item Type: Journal Article
Keywords: Intraday Price Volatility, Information Arrival, Skewed Student Asymmetric Power ARCH, Calendar Effects
ISSN: 0195-6574
Subjects: Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > ECONOMETRICS (140300) > Time-Series Analysis (140305)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
Deposited On: 17 Jun 2009 23:06
Last Modified: 05 Jan 2011 23:45

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