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Spikes and memory in (Nord Pool) electricity price spot prices
Proietti, Tommaso; Haldrup, Niels; Knapik, Oskar - 2017
Persistent link: https://www.econbiz.de/10011750398
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Modeling and forecasting electricity price jumps in the Nord Pool power market
Knapik, Oskar - 2017
Persistent link: https://www.econbiz.de/10011624099
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Rough electricity : a new fractal multi-factor model of electricity spot prices
Bennedsen, Mikkel - 2015
Persistent link: https://www.econbiz.de/10011343496
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A smooth transition logit model of the effects of deregulation in the electricity market
Hurn, Stan; Silvennoinen, Annastiina; Teräsvirta, Timo - 2014
Persistent link: https://www.econbiz.de/10010336590
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Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads
Ergemen, Yunus Emre; Haldrup, Niels; … - 2015
Persistent link: https://www.econbiz.de/10011409105
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A generalized exponential time series regression model for electricity prices
Haldrup, Niels; Knapik, O.; Proietti, Tommaso - 2016
Persistent link: https://www.econbiz.de/10011447820
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A regime-switching stochastic volatility model for forecasting electricity prices
Exterkate, Peter; Knapik, Oskar - 2017
Persistent link: https://www.econbiz.de/10011624014
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Modeling and forecasting the volatility of energy forward returns : evidence from the Nordic power exchange
Lunde, Asger; Olesen, Kasper V. - 2013
Persistent link: https://www.econbiz.de/10009751838
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Unstable volatility functions : the break preserving local linear estimator
Casas, Isabel; Gijbels, Irène - 2009
Persistent link: https://www.econbiz.de/10003892556
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Jump-robust volatility estimation using nearest neighbor truncation
Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst - 2009
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Persistent link: https://www.econbiz.de/10003898519