Modeling extreme dependence between European electricity markets
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DOI: 10.1016/j.eneco.2012.04.006
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More about this item
Keywords
Hidden Markov Regime Switching models; Electricity spot price; Independent Spike models; Market integration;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G1 - Financial Economics - - General Financial Markets
- Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
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