Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions
Year of publication: |
2009-04
|
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Authors: | Janczura, Joanna ; Weron, Rafal |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | regime-switching | heteroskedasticity | electricity spot price |
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