Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices
Year of publication: |
2005-10-17
|
---|---|
Authors: | Haldrup ; Niels ; Nielsen, Morten Oerregaard |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Cointegration | electricity prices | forecasting | fractional integration and cointegration | long memory | Markov switching |
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