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~institution:"Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska"
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EM algorithm
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Electricity spot price
2
Energy economics
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Independent regimes
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Markov regime-switching
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Janczura, Joanna
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Weron, Rafal
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Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
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Inference for
Markov-regime
switching
models of electricity spot prices
Janczura, Joanna
;
Weron, Rafal
-
Hugo Steinhaus Center for Stochastic Methods, …
-
2012
In the last decade
Markov-regime
switching
(MRS) models have been extensively used for modeling the unique behavior of …
Persistent link: https://www.econbiz.de/10010626145
Saved in:
2
Efficient estimation of
Markov
regime-switching
models: An application to electricity spot prices
Janczura, Joanna
;
Weron, Rafal
-
Hugo Steinhaus Center for Stochastic Methods, …
-
2011
In this paper we discuss the calibration of models built on mean-reverting processes combined with
Markov
regime-switching
…
Persistent link: https://www.econbiz.de/10009323907
Saved in:
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