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Browsing Research Articles (Economics) by Author "Lau, Chi Keung"
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Segnon, Mawuli K.; Lau, Chi Keung; Wilfling, Bernd; Gupta, Rangan
(De Gruyter, 2022)
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 ...