Modelling the volatility of the Spanish wholesale electricity spot market : asymmetric GARCH models vs. threshold ARSV model
Year of publication: |
2011
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Authors: | Montero, José-María ; García-Centeno, Maria C. ; Fernández-Avilés, Gema |
Published in: |
Estudios de economía aplicada : revista promovida por Asepelt, Asociación de Economía Aplicada. - Madrid, ISSN 1133-3197, ZDB-ID 2508178-0. - Vol. 29.2011, 2, p. 597-616
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Subject: | Spanien | Spain | Volatilität | Volatility | ARCH-Modell | ARCH model | Elektrizitätswirtschaft | Electric power industry | Schätzung | Estimation | Spotmarkt | Spot market |
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