Spikes and memory in (Nord Pool) electricity price spot prices
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- Tommaso Proietti & Niels Haldrup & Oskar Knapik, 2017. "Spikes and memory in (Nord Pool) electricity price spot prices," CEIS Research Paper 422, Tor Vergata University, CEIS, revised 18 Dec 2017.
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More about this item
Keywords
Robustness; Kalman Filter; Long Memory;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
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