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~isPartOf:"Queen's Economics Department Working Paper"
~person:"Nielsen, Frank S."
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Nielsen, Frank S.
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A vector autoregressive model for electricity prices subject to long memory and regime switching
Haldrup, Niels
;
Nielsen, Frank S.
;
Nielsen, Morten …
-
2009
A regime dependent VAR model is suggested that allows long memory (
fractional
integration
) in each of the observed …
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