An empirical comparison of alternate regime-switching models or electricity spot prices
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- Janczura, Joanna & Weron, Rafal, 2010. "An empirical comparison of alternate regime-switching models for electricity spot prices," Energy Economics, Elsevier, vol. 32(5), pages 1059-1073, September.
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Keywords
Electricity spot price; Spikes; Markov regime-switching; Heteroscedasticity;All these keywords.
JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ENE-2010-02-20 (Energy Economics)
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