Thomas K. Kloster, Fred Espen Benth
arXiv 4 Jun 2026 · Finance — General
arXiv:2606.05991 · PDF · DOI · OpenAlex · Extracted main text
We study forecasting of the realized covariation in electricity markets. The realized covariation in this context is a matrix-valued representation of the latent infinite-dimensional covariance operator and a parsimonious matrix-HAR type model is constructed to facilitate estimation. We test the model on one-week ahead forecasts of the weekly realized covariation and find that the inclusion of longer time horizons and renewable generation information adds important predictive power. We also investigate the prediction of risk premia in electricity forward markets and find that our variance forecasts provide substantially improved forecasts of spread risk premia compared to standard methods relying on backward looking volatility.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Kloster, Thomas K. and Benth, Fred Espen (2026) The fine structure of electricity price volatility self | 1.000 | 11 | 5 | 100% |
| 2 | Hendrik Bessembinder and Michael L. Lemmon (2002) Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets | 1.000 | 6 | 3 | 100% |
| 3 | Matias Quiroz and Laleh Tafakori and Hans Manner (2024) Forecasting realized covariances using HAR-type models | 0.737 | 3 | 2 | 100% |
| 4 | Kloster, Thomas K (2026) An ambit field framework for the full panel of day-ahead electricity prices self | 0.644 | 2 | 2 | 100% |
| 5 | Christian Redl and Reinhard Haas and Claus Huber and Bernhard Böhm (2009) Price formation in electricity forward markets and the relevance of systematic forecast errors | 0.511 | 2 | 1 | 100% |
| 6 | Archakov, Ilya and Hansen, Peter Reinhard (2021) A New Parametrization of Correlation Matrices | 0.405 | 1 | 1 | 100% |
| 7 | Fred Espen Benth and Dennis Schroers and Almut E.D. Veraart (2022) A weak law of large numbers for realised covariation in a Hilbert space setting self | 0.405 | 1 | 1 | 100% |
| 8 | Benth, Fred Espen and Schroers, Dennis and Veraart, Almut E. D (2024) A feasible central limit theorem for realised covariation of SPDEs in the context of functional data self | 0.405 | 1 | 1 | 100% |
| 9 | Bollerslev, Tim and Patton, Andrew J. and Quaedvlieg, Rogier (2016) Exploiting the errors: A simple approach for improved volatility forecasting | 0.405 | 1 | 1 | 100% |
| 10 | Christensen, Kim and Siggaard, Mathias and Veliyev, Bezirgen (2023) A Machine Learning Approach to Volatility Forecasting | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 16 scored citations.