We analyze Australian electricity price returns and find that they exhibit volatility clustering, long
memory, structural breaks, and multifractality. Consequently, we let the return mean equation follow two
alternative ...
We investigate the role of geopolitical risks in forecasting stock market volatility at monthly horizons within a robust autoregressive Markov-switching GARCH mixed-data-sampling (AR-MSGARCH-MIDAS) framework. Our approach ...
