Multifractal analysis of Power Markets. Some empirical evidence

This work is intended to offer a comparative analysis of the statistical properties of hourly prices in the day–ahead electricity markets of several countries. Starting from the intermittent nature of typical price fluctuations in many power markets, we will provide evidence that working into a stochastic multifractal analysis framework can be of help to asses typical features of day–ahead market prices.

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Year of publication:	2004-10-03
Authors:	Resta, Marina
Institutions:	EconWPA
Subject:	Multifractals \| Hurst Coefficient \| Power Markets

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Extent:	application/pdf
Series:	Econometrics.
Type of publication:	Book / Working Paper
Notes:	Type of Document - pdf; pages: 11 11 pages
Classification:	C0 - Mathematical and Quantitative Methods. General ; C5 - Econometric Modeling
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005407956