Regime-switching model on hourly electricity spot price dynamics
Samuel Asante Gyamerah, Philip Ngare
| Year of publication: |
February 2018
|
|---|---|
| Authors: | Gyamerah, Samuel Asante ; Ngare, Philip |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 8.2018, 1, p. 102-110
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| Subject: | Regime-Switching Model | Time-Varying Volatility | Hourly Spot Price of Electricity | Expectation-Maximization (EM)-Algorithm | Volatilität | Volatility | Strompreis | Electricity price | Spotmarkt | Spot market | Markov-Kette | Markov chain | ARCH-Modell | ARCH model | Elektrizität | Electricity | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/jmf.2018.81008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011846143