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," CREATES Research Papers 2017-39, Department of Economics and Business Economics, Aarhus University.
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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
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ENE-2018-01-08 (Energy Economics)
- NEP-FOR-2018-01-08 (Forecasting)
- NEP-REG-2018-01-08 (Regulation)
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