Opschoor, Anne; Peerlings, Dewi; Rossini, Luca; Lucas, … - 2024
We introduce the vector-valued t-Riesz distribution for time series models of electricity prices. The t-Riesz distribution extends the well-known Multivariate Student's t distribution by allowing for tail heterogeneity via a vector of degrees of freedom (DoF) parameters. The closed-form density...