Lindström, Erik; Regland, Fredric - In: Czech Journal of Economics and Finance (Finance a uver) 62 (2012) 2, pp. 180-196
The authors apply a class of Markov switching models (independent spike models) to six European electricity markets and two European gas markets. This paper extends the current framework by introducing Gamma distributed spikes, which improves the fit for most energy markets. The models are quite...